What does heteroscedasticity mean?
Definitions for heteroscedasticity
het·eroscedas·tic·i·ty
This dictionary definitions page includes all the possible meanings, example usage and translations of the word heteroscedasticity.
Wiktionary
heteroscedasticitynoun
The property of a series of random variables of not every variable having the same finite variance
Wikipedia
heteroscedasticity
In statistics, a sequence (or a vector) of random variables is homoscedastic () if all its random variables have the same finite variance. This is also known as homogeneity of variance. The complementary notion is called heteroscedasticity. The spellings homoskedasticity and heteroskedasticity are also frequently used.Assuming a variable is homoscedastic when in reality it is heteroscedastic () results in unbiased but inefficient point estimates and in biased estimates of standard errors, and may result in overestimating the goodness of fit as measured by the Pearson coefficient. The existence of heteroscedasticity is a major concern in regression analysis and the analysis of variance, as it invalidates statistical tests of significance that assume that the modelling errors all have the same variance. While the ordinary least squares estimator is still unbiased in the presence of heteroscedasticity, it is inefficient and generalized least squares should be used instead.Because heteroscedasticity concerns expectations of the second moment of the errors, its presence is referred to as misspecification of the second order.The econometrician Robert Engle was awarded the 2003 Nobel Memorial Prize for Economics for his studies on regression analysis in the presence of heteroscedasticity, which led to his formulation of the autoregressive conditional heteroscedasticity (ARCH) modeling technique.
Numerology
Chaldean Numerology
The numerical value of heteroscedasticity in Chaldean Numerology is: 7
Pythagorean Numerology
The numerical value of heteroscedasticity in Pythagorean Numerology is: 1
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"heteroscedasticity." Definitions.net. STANDS4 LLC, 2024. Web. 19 Apr. 2024. <https://www.definitions.net/definition/heteroscedasticity>.
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