期刊
SCANDINAVIAN JOURNAL OF STATISTICS
卷 40, 期 1, 页码 21-41出版社
WILEY-BLACKWELL
DOI: 10.1111/j.1467-9469.2011.00767.x
关键词
conditional distribution; copula; local linear estimation; measure of dependence; regression; stochastic order
资金
- Deutsche Forschungsgemeinschaft [SFB 823]
. This article 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 non-parametric measure of regression dependence and study its properties. Besides being monotone in the new RDOs, the measure takes on its extreme values precisely at independence and almost sure functional dependence, respectively. A consistent non-parametric 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 a small simulation study.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据