Modelling Variance Heterogeneity: Residual Maximum Likelihood and Diagnostics
方差异质性建模:残差最大似然与诊断
SUMMARY The assumption of equal variance in the normal regression model is not always appropriate. to attempt to eliminate unequal variance a transformation is often used but if the transformation is not successful, or the variances are of intrinsic interest, it may be necessary to model the variances in some way. We consider the normal regression model when log-linear dependence of the variances on explanatory variables is suspected. Detection of the dependence, estimation…