The Laplace Likelihood Ratio Test for Heteroscedasticity
The Laplace Likelihood Ratio Test for Heteroscedasticity
About this item
Full title
Author / Creator
Publisher
Hindawi Limiteds
Journal title
Language
English
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Publication information
Publisher
Hindawi Limiteds
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Scope and Contents
Contents
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 c...
Alternative Titles
Full title
The Laplace Likelihood Ratio Test for Heteroscedasticity
Authors, Artists and Contributors
Author / Creator
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Record Identifier
TN_cdi_doaj_primary_oai_doaj_org_article_3b13279d81f34974ba74fc145dd2dedf
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_doaj_primary_oai_doaj_org_article_3b13279d81f34974ba74fc145dd2dedf
Other Identifiers
ISSN
0161-1712
E-ISSN
1687-0425
DOI
10.1155/2011/249564
