The Laplace Likelihood Ratio Test for Heteroscedasticity
نویسنده
چکیده
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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عنوان ژورنال:
- Int. J. Math. Mathematical Sciences
دوره 2011 شماره
صفحات -
تاریخ انتشار 2011