Wartungsarbeiten: Am 16.01.2025 von ca. 8:00 bis 11:00 Uhr steht Ihnen das System nicht zur Verfügung. Bitte stellen Sie sich entsprechend darauf ein.
 

A copula-based nonparametric measure of regression dependence

Loading...
Thumbnail Image

Date

2010-02-16T09:23:15Z

Journal Title

Journal ISSN

Volume Title

Publisher

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.

Description

Table of contents

Keywords

Citation