Questions tagged [heteroscedasticity]
Non-constant variance along some continuum in a random process, or varying between discrete groups
1,186
questions
5
votes
2
answers
388
views
I think standard deviation of y is related to size of x. How do I create a model for this / test this?
I have a sample of data $(x_i, y_i)$. I hypothesize that $y_i$ is not dependent on $x_i$, but the standard deviation of $y_i$ depends on $x_i$
More concretely, say I assume $\textrm{Var}(y_i | x_i) = ...
- 698
0
votes
1
answer
23
views
What criterion to use to compare multiple correlations of binary variables?
I have $N$ definitions of certain properties of countries (for example, if the country is "democratic", "totalitarian" etc.), and want to test how consistently different people ...
- 101
2
votes
0
answers
36
views
+50
Understanding Volatility Clustering: Conditional or Unconditional Variance?
A stylized fact observed in financial time series is volatility clustering. Volatility clustering is commonly described as the fact that large changes in asset prices are followed by large changes, ...
- 1,445
0
votes
0
answers
35
views
GLMM for not so gaussian data
I am having an issue with GLMM and hope you could advice me.
So basically I have data from microscopy experiment of three independent groups (variable: subfolder) nested within 4 experimental ...
0
votes
0
answers
9
views
Question on ARCH effect Test
I try to conduct ARCH effect test.
I have a time series (Global price of Brent crude oil) which follows AR(3).
First of all, I estimate AR(3) model for the Oil price.
$$Y_t = \alpha_0 + \alpha_1 Y_{t-...
- 1,140
0
votes
1
answer
47
views
Which analysis instead of linear regression?
I have collected data pertaining to suffering (scale from 0 to 8, higher is worse) and cognitive distortion (0 to 40, higher is worse) for a study with ~ 200 participants. My hypothesis is that there ...
0
votes
0
answers
21
views
Unbiased test for homogeneity of means of exponenential samples
Given $K$ independent samples of $Y_{i1},\dots,Y_{in_i} \ \text{i.i.d.} \ \sim Exp(\lambda_i)$ with $i=1,\dots, K$ and $n_i$ the size of the $i$-th sample, is there any statistics with analytically ...
2
votes
0
answers
32
views
Assessing heteroscedasticity in residuals vs. fitted values graph [duplicate]
I am running a mixed model regression with 3 levels (schools, groups and students). I applied robust standard errors with the R function ...
- 51
0
votes
0
answers
32
views
Two Way Anova with Heteroscedasticity
I'm trying to run a two way anova test but the homoscedasticity condition is not met. My analysis is not balanced and I have over 3000 observations in my sample. Is it okay to proceed even if the ...
- 145
0
votes
0
answers
34
views
Coefficient of determination in a linear regression model with a covaring predictor
Given a model:
\begin{align}Y_{i}=Z_{i}*\beta * X_{i} + Z_{i}\tag{Eq. 1}&\end{align}
I am interested in a closed formula for the proportion of variance explained by the predictor variable $X$, ...
- 215
2
votes
1
answer
135
views
Assumption in multiple linear regression
The principles of multiple linear regression are widely described, however there are still some aspects I don't truly understand why. Specifically speaking I don't understand why heteroscedasticity ...
- 275
5
votes
1
answer
45
views
Very basic questions about choosing weights for WLS
Hi all – very new to stats and ML here (though with plenty of math experience – I’m not a student looking for homework help, I’m 58, know plenty of math, and am looking to expand my skills).
I ...
- 161
1
vote
0
answers
15
views
Does "residualising" out the effect of a covariate on the response variable achieve similar results to including the covariate as a predictor?
Sorry - the question itself is wordy!
I am running a Welch ANOVA, but want to account for the effects of a covariate on this Welch ANOVA. I am unaware of any ways that I could conduct a Welch ANCOVA.
...
- 21
0
votes
0
answers
13
views
Determining when two slopes are different or not, given heteroskedasticity
My current experiment investigates substrate consumption at two different substrate concentrations. My question concerns whether the slope of consumption is equal. However, I obtain an F-value ...
0
votes
0
answers
35
views
Testing for Homoscedasticity - should Levene's and Brown-Forsythe use Welch's t-test/ANOVA?
This question just came up and I haven't seen any literature on the subject.
Background: When testing homoscedasticity for, say, a two-sample t-test, the F-test for equal variances is deprecated due ...
