242
Views
0
CrossRef citations to date
0
Altmetric
Nonparametric Methods

Nonparametric Subset Scanning for Detection of Heteroscedasticity

ORCID Icon & ORCID Icon
Pages 813-823 | Received 11 Aug 2020, Accepted 14 Dec 2021, Published online: 07 Feb 2022

References

  • Breusch, T. S., and Pagan, A. R. (1979), “A Simple Test for Heteroscedasticity and Random Coefficient Variation,” Econometrica, 47, 1287–1294. DOI: 10.2307/1911963.
  • Celik, R. (2015), “Stabilizing Heteroscedasticity for Butterfly-Distributed Residuals by the Weighting Absolute Centered External Variable,” Journal of Applied Statistics, 42, 705–721.
  • Chatterjee, S., and Hadi, A. S. (2006), Regression Analysis by Example (4th ed.), Hoboken: Wiley.
  • Cook, R. D., and Weisberg, S. (1983), “Diagnostics for Heteroscedasticity in Regression,” Biometrika, 70, 1–10. DOI: 10.1093/biomet/70.1.1.
  • Dette, H., and Munk, A. (1998), “Testing Heteroscedasticity in Nonparametric Regression,” Journal of the Royal Statistical Society, Series B, 60, 693–708. DOI: 10.1111/1467-9868.00149.
  • Ferguson, T. S. (1996), A Course in Large Sample Theory, Texts in Statistical Science Series, Boston, MA: Chapman & Hall.
  • Glejser, H. (1969), “A New Test For Heteroskedasticity,” Journal of the American Statistical Association, 64, 316–323. DOI: 10.1080/01621459.1969.10500976.
  • Goldfeld, S. M., and Quandt, R. E. (1965), “Some Tests for Homoscedasticity,” Journal of the American Statistical Association, 60, 539–547. DOI: 10.1080/01621459.1965.10480811.
  • Harrison, M. J., and McCabe, B. P. M. (1979), “A Test for Heteroscedasticity Based on Ordinary Least Squares Residuals,” Journal of the American Statistical Association, 74, 494–499.
  • Koenker, R. (1981), “A Note on Studentizing a Test for Heteroscedasticity,” Journal of Econometrics, 17, 107–112. DOI: 10.1016/0304-4076(81)90062-2.
  • Koenker, R., and Bassett, G. (1982), “Robust Tests for Heteroscedasticity based on Regression Quantiles,” Econometrica, 50, 43–61. DOI: 10.2307/1912528.
  • Li, Z., and Yao, J. (2019), “Testing for Heteroscedasticity in High-Dimensional Regressions,” Econometrics and Statistics, 9, 122–139. DOI: 10.1016/j.ecosta.2018.01.001.
  • McFowland III, E., Speakman, S., and Neill, D. B. (2013), “Fast Generalized Subset Scan for Anomalous Pattern Detection,” Journal of Machine Learning Research, 14, 1533–1561.
  • Muller, H.-G., and Stadtmuller, U. (1987), “Estimation of Heteroscedasticity in Regression Analysis,” The Annals of Statistics, 15, 610–625. DOI: 10.1214/aos/1176350364.
  • Neill, D. B. (2012), “Fast Subset Scan for Spatial Pattern Detection,” Journal of the Royal Statistical Society, Series B, 74, 337–360. DOI: 10.1111/j.1467-9868.2011.01014.x.
  • Newey, Whitney K, and Powell, J. L. (1987), “Asymmetric Least Squares Estimation and Testing,” Econometrica, 55, 819–847. DOI: 10.2307/1911031.
  • Tibshirani, R. (1996), “Regression Shrinkage and Selection via the Lasso,” Journal of the Royal Statistical Society, 58, 267–288.
  • Wallenius, K. T. (1963), “Biased Sampling: The Non-central Hypergeometric Probability Distribution,” Ph.D. thesis, Stanford University, Department of Statistics.
  • White, H. (1980), “A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity,” Econometrica, 48, 817–838. DOI: 10.2307/1912934.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.