A Note on Directional Dependence in Regression Setting

ABSTRACT

In this article, we define and study the concept of directional dependence in bivariate regression setting by using copulas. We consider two cases of directional dependence; one originating from marginals and the other originating from the joint behavior of variables. We also generalize and clarify the results given by Dodge and Rousson (2000) and Muddapur (2003).

Keywords:

• Copulas
• Correlation
• Directional dependence
• Regression function

Mathematics Subject Classification:

• Primary 62H11
• Secondary 62H20

Acknowledgment

The author gratefully acknowledges the insightful comments and suggestions of the referees on the previous version of the manuscript.