A copula-based nonparametric measure of regression dependence

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.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.identifier.uri	http://hdl.handle.net/2003/26707
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-15903
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

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