The Laplace likelihood ratio test for heteroscedasticity (Q554788)
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scientific article; zbMATH DE number 5930196
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The Laplace likelihood ratio test for heteroscedasticity |
scientific article; zbMATH DE number 5930196 |
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The Laplace likelihood ratio test for heteroscedasticity (English)
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22 July 2011
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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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0.7735393643379211
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0.7620580792427063
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0.7480178475379944
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