A copula-based nonparametric measure of regression dependence

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dc.contributor.authorDette, Holger
dc.contributor.authorSiburg, Karl Friedrich
dc.contributor.authorStoimenov, Pavel A.
dc.date.accessioned2010-03-02T13:42:07Z
dc.date.available2010-03-02T13:42:07Z
dc.date.issued2010-03-02T13:42:07Z
dc.description.abstractThis 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 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. 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.urihttp://hdl.handle.net/2003/26951
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-6616
dc.language.isoen
dc.relation.ispartofseriesPreprints der Fakultät für Mathematik ; 2010-03de
dc.subject.ddc610
dc.titleA copula-based nonparametric measure of regression dependenceen
dc.typeTextde
dc.type.publicationtypepreprinten
dcterms.accessRightsopen access

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