Authors: Siburg, Karl F.
Stoimenov, Pavel A.
Title: Regression dependence
Language (ISO): en
Abstract: This paper presents a framework for comparing bivariate distributions according to their degree of regression dependence. We introduce the general concept of a regression dependence order (RDO) and provide two examples of RDOs. In addition, we define a new nonparametric measure of regression dependence and study its properties. Beside being monotone in the new RDOs, the measure takes on its extreme values precisely at independence and almost sure functional dependence, respectively. Finally, a consistent nonparametric estimator of the new measure is constructed.
URI: http://hdl.handle.net/2003/26474
http://dx.doi.org/10.17877/DE290R-12669
Issue Date: 2009
Appears in Collections:Sonderforschungsbereich (SFB) 823

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