Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Dette, Holger | - |
dc.contributor.author | Siburg, Karl Friedrich | - |
dc.contributor.author | Stoimenov, Pavel A. | - |
dc.date.accessioned | 2010-02-16T09:23:15Z | - |
dc.date.available | 2010-02-16T09:23:15Z | - |
dc.date.issued | 2010-02-16T09:23:15Z | - |
dc.identifier.uri | http://hdl.handle.net/2003/26707 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-15903 | - |
dc.description.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). In addition, we de fine 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. A consistent nonparametric estimator of the new measure is constructed and its asymptotic properties are investigated. Finally, the finite sample properties of the estimate are studied by means of small simulation study. | en |
dc.language.iso | en | de |
dc.relation.ispartofseries | Discussion Paper / SFB 823;05/2010 | - |
dc.subject.ddc | 310 | - |
dc.subject.ddc | 330 | - |
dc.subject.ddc | 620 | - |
dc.title | A copula-based nonparametric measure of regression dependence | en |
dc.type | Text | de |
dc.type.publicationtype | report | de |
dcterms.accessRights | open access | - |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
DP_0510_SFB823_dette_siburg_stoimenov.pdf | DNB | 444.9 kB | Adobe PDF | View/Open |
This item is protected by original copyright |
This item is protected by original copyright rightsstatements.org