- n. alternative spelling of heteroscedasticity.
“* For those who care about the statistical details: I could not use a general standard error because the estimates exhibited heteroskedasticity, which is an increase in error bars as the predictions get bigger.”
“The data has much bigger variance in big-growth years than in little-growth years "heteroskedasticity" in this context - you oculd have this with normal distributions as well.”
“If we adjust the standard errors for heteroskedasticity the t-statistic falls to -1.87 but the inference remains the same.”
“In particular, he applied the concept of "autoregressive conditional heteroskedasticity" (ARCH) for this purpose.”
“In addition, investment performance is typically subject to heteroskedasticity, which in turn greatly hinders the usefulness of using standard deviation as a measure risk.”
“Tests for statistical significance and tests for heteroskedasticity and linear dependence should be ran before making a statement as bold as those people did. —”
“Hyperion would then be perfectly described by economics (the ultimate parameterized interpolative curve fit, all fits each proving the others wrong) plus heteroskedasticity (because analytic economics is fundamentally crap for prediction).”
“There are relatively well known adjustments for the variance estimates in OLS that are robust to general forms of heteroskedasticity or autocorrelation.”
“Both tests are based on estimates of the covariance matrix or the regression estimates that account for heteroskedasticity non-constant variances over the time period and autocorrelations — the so-called “HAC” estimates.”
“Financial markets are blessed with a surfeit of data, and they routinely estimate very complicated models with ARCH (autoregressive conditional heteroskedasticity) errors and ‘core’ processes that are similar to random walks (stock prices or, rather, stock fundamentals).”
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