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Contents
Assumptions of a regression model
Testing
Homoscedastic distributions
See also
References
Testing
Residuals can be tested for homoscedasticity using the Breusch–Pagan test, which performs an auxiliary
regression of the squared residuals on the independent variables. From this auxiliary regression, the
explained sum of squares is retained, divided by two, and then becomes the test statistic for a chi-squared
distribution with the degrees of freedom equal to the number of independent variables. The null
hypothesis of this chi-squared test is homoscedasticity, and the alternative hypothesis would indicate
heteroscedasticity. Since the Breusch–Pagan test is sensitive to departures from normality or small
sample sizes, the Koenker–Bassett or 'generalized Breusch–Pagan' test is commonly used instead. From
the auxiliary regression, it retains the R-squared value which is then multiplied by the sample size, and
then becomes the test statistic for a chi-squared distribution (and uses the same degrees of freedom).
Although it is not necessary for the Koenker–Bassett test, the Breusch–Pagan test requires that the
squared residuals also be divided by the residual sum of squares divided by the sample size.[3] Testing for
groupwise heteroscedasticity requires the Goldfeld–Quandt test.
Homoscedastic distributions
Two or more normal distributions, , are homoscedastic if they share a common covariance (or
correlation) matrix, . Homoscedastic distributions are especially useful to derive
statistical pattern recognition and machine learning algorithms. One popular example is Fisher's linear
discriminant analysis.
See also
Bartlett's test
Homogeneity (statistics)
Heterogeneity
References
1. For the Greek etymology of the term, see McCulloch, J. Huston (1985). "On
Heteros*edasticity". Econometrica. 53 (2): 483. JSTOR 1911250 (https://www.jstor.org/stabl
e/1911250).
2. Achen, Christopher H.; Shively, W. Phillips (1995), Cross-Level Inference (https://books.goo
gle.com/books?id=AEXUlWus4K4C&pg=PA47), University of Chicago Press, pp. 47–48,
ISBN 9780226002194.
3. Pryce, Gwilym. "Heteroscedasticity: Testing and Correcting in SPSS" (http://reocities.com/H
eartland/4205/SPSS/HeteroscedasticityTestingAndCorrectingInSPSS1.pdf) (PDF). pp. 12–
18. Retrieved 26 March 2017.
4. Hamsici, Onur C.; Martinez, Aleix M. (2007) "Spherical-Homoscedastic Distributions: The
Equivalency of Spherical and Normal Distributions in Classification" (http://jmlr.csail.mit.edu/
papers/volume8/hamsici07a/hamsici07a.pdf), Journal of Machine Learning Research, 8,
1583-1623
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