A Copula‐Based Non‐parametric Measure of Regression Dependence

DOI10.1111/j.1467-9469.2011.00767.xzbMath1259.62050OpenAlexW2109841311MaRDI QIDQ4911964

Pavel A. Stoimenov, Karl Friedrich Siburg, Dette, Holger

Publication date: 20 March 2013

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2003/26707

zbMATH Keywords

stochastic orderconditional distributionlocal linear estimationmeasure of dependence

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32)

Related Items

Measure of complete dependence of random vectors, On a multivariate copula-based dependence measure and its estimation, Nonparametric estimation of the measure of functional dependence, Functional treatment of asymmetric copulas, Maximal asymmetry of bivariate copulas and consequences to measures of dependence, Model-free, monotone invariant and computationally efficient feature screening with data-adaptive threshold, Global sensitivity analysis: a novel generation of mighty estimators based on rank statistics, Measuring association with Wasserstein distances, On multivariate asymmetric dependence using multivariate skew-normal copula-based regression, Almost opposite regression dependence in bivariate distributions, Measures of the functional dependence of random vectors, Projection divergence in the reproducing kernel Hilbert space: asymptotic normality, block-wise and slicing estimation, and computational efficiency, A novel positive dependence property and its impact on a popular class of concordance measures, Quantifying directed dependence via dimension reduction, Copula modeling from Abe Sklar to the present day, On Azadkia-Chatterjee's conditional dependence coefficient, Exact detection thresholds and minimax optimality of Chatterjee's correlation coefficient, The Hellinger Correlation, Unnamed Item, On the copula correlation ratio and its generalization, Sliced Independence Test, Copula theory and probabilistic sensitivity analysis: is there a connection?, On weak conditional convergence of bivariate Archimedean and extreme value copulas, and consequences to nonparametric estimation, Sobolev Convergence of Empirical Bernstein Copulas, Measure of asymmetric association for ordinal contingency tables via the bilinear extension copula, Rearranged dependence measures, Estimating scale-invariant directed dependence of bivariate distributions, A simple measure of conditional dependence, A new coefficient of correlation, Various measures of dependence of a new asymmetric generalized Farlie–Gumbel–Morgenstern copulas, Total positivity of copulas from a Markov kernel perspective, On the asymptotic null distribution of the symmetrized Chatterjee's correlation coefficient

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Goodness-of-fit tests for copulas
• An introduction to copulas.
• Improved kernel estimation of copulas: weak convergence and goodness-of-fit testing
• Stochastic orders
• An ordering for positive dependence
• On nonparametric measures of dependence for random variables
• Copulas and Markov processes
• Dispersion measures and dispersive orderings.
• Weak convergence of empirical copula processes
• Positive dependence orderings
• A measure of mutual complete dependence
• On measures of dependence
• Descriptive Parameters of Location, Dispersion and Stochastic Dependence
• Regression-based orderings and measures of stochastic depence
• Nonparametric estimation of copula functions for dependence modelling
• Some Concepts of Dependence
• Association of Random Variables, with Applications
• Correlation and Complete Dependence of Random Variables