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HandWiki. Homoscedasticity. Encyclopedia. Available online: https://encyclopedia.pub/entry/31956 (accessed on 22 September 2026).
HandWiki. Homoscedasticity. Encyclopedia. Available at: https://encyclopedia.pub/entry/31956. Accessed September 22, 2026.
HandWiki. "Homoscedasticity" Encyclopedia, https://encyclopedia.pub/entry/31956 (accessed September 22, 2026).
HandWiki. (2022, October 31). Homoscedasticity. In Encyclopedia. https://encyclopedia.pub/entry/31956
HandWiki. "Homoscedasticity." Encyclopedia. Web. 31 October, 2022.
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In statistics, a sequence (or a vector) of random variables is homoscedastic/ˌhoʊmoʊskəˈdæstɪk/ if all its random variables have the same finite variance. This is also known as homogeneity of variance. The complementary notion is called heteroscedasticity. The spellings homoskedasticity and heteroskedasticity are also frequently used. Assuming a variable is homoscedastic when in reality it is heteroscedastic (/ˌhɛtəroʊskəˈdæstɪk/) results in unbiased but inefficient point estimates and in biased estimates of standard errors, and may result in overestimating the goodness of fit as measured by the Pearson coefficient.
heteroscedasticity
random variables
heteroskedasticity
References
- Peter Kennedy, A Guide to Econometrics, 5th edition, p. 137.
- Achen, Christopher H.; Shively, W. Phillips (1995), Cross-Level Inference, University of Chicago Press, pp. 47–48, ISBN 9780226002194, https://books.google.com/books?id=AEXUlWus4K4C&pg=PA47 .
- Peter Kennedy, A Guide to Econometrics, 5th edition, p. 136.
- Breusch, T. S.; Pagan, A. R. (1979). "A Simple Test for Heteroscedasticity and Random Coefficient Variation". Econometrica 47 (5): 1287–1294. doi:10.2307/1911963. ISSN 0012-9682. https://www.jstor.org/stable/1911963.
- Ullah, Muhammad Imdad (2012-07-26). "Breusch Pagan Test for Heteroscedasticity" (in en-US). https://itfeature.com/correlation-and-regression-analysis/ols-assumptions/breusch-pagan-test.
- Pryce, Gwilym. "Heteroscedasticity: Testing and Correcting in SPSS". pp. 12–18. http://reocities.com/Heartland/4205/SPSS/HeteroscedasticityTestingAndCorrectingInSPSS1.pdf.
- Hamsici, Onur C.; Martinez, Aleix M. (2007) "Spherical-Homoscedastic Distributions: The Equivalency of Spherical and Normal Distributions in Classification", Journal of Machine Learning Research, 8, 1583-1623 http://jmlr.csail.mit.edu/papers/volume8/hamsici07a/hamsici07a.pdf
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