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heterogenity
2013 Oct 27
1
R-help Digest, Vol 128, Issue 29
Re: Heteroscedasticity and mgcv. (Collin Lynch)
The GAMLSS package can model heterogeneity in the scale parameter (e.g.
standard deviastion) [and also heterogeity in skewness and kurtosis
parameters].of the response variable distribution.
For parametric models a generalized likelihood ratio test can be used to
test whether the heterogeity is needed.
Alternatively a generalized Akaike information criterion (GAIC) can be used
to compare models.
Robert Rigby...
2013 Oct 27
2
Heteroscedasticity and mgcv.
I have a two part question one about statistical theory and the other
about implementations in R. Thank you for all help in advance.
(1) Am I correct in understanding that Heteroscedasticity is a problem for
Generalized Additive Models as it is for standard linear models? I am
asking particularly about the GAMs as implemented in the mgcv package.
Based upon my online search it seems that some