The Laplace Likelihood Ratio Test for Heteroscedasticity
It is shown that the likelihood ratio test for heteroscedasticity, assuming the Laplace distribution, gives good results for Gaussian and fat-tailed data. The likelihood ratio test, assuming normality, is very sensitive to a...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2011-01-01
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| Series: | International Journal of Mathematics and Mathematical Sciences |
| Online Access: | http://dx.doi.org/10.1155/2011/249564 |
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| Summary: | It is shown that the likelihood ratio test for heteroscedasticity,
assuming the Laplace distribution, gives good
results for Gaussian and fat-tailed data. The
likelihood ratio test, assuming normality, is
very sensitive to any deviation from normality,
especially when the observations are from a
distribution with fat tails. Such a likelihood
test can also be used as a robust test for a
constant variance in residuals or a time series
if the data is partitioned into
groups. |
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| ISSN: | 0161-1712 1687-0425 |