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heteroscedastic

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heteroscedastic [ˌhɛtərəʊskɪˈdæstɪk]
adj Statistics
1. (Mathematics & Measurements / Statistics) (of several distributions) having different variances
2. (Mathematics & Measurements / Statistics) (of a bivariate or multivariate distribution) not having any variable whose variance is the same for all values of the other or others
3. (Mathematics & Measurements / Statistics) (of a random variable) having different variances for different values of the others in a multivariate distribution Compare homoscedastic
[from hetero- + scedastic, from Greek skedasis a scattering, dispersal]
heteroscedasticity  [ˌhɛtərəʊskɪdæsˈtɪsɪtɪ] n
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4) Preliminary investigations indicate that the forecast errors of the best-fitting ARMA model are heteroscedastic.
Inflation and relative price variability: new evidence for the United ... by Becker, Sascha S.; Nautz, Dieter / Southern Economic Journal
The robust variance estimator produces consistent standard errors irrespective of the correctness of the correlation structure that is assumed by the regression model, and yields asymptotically consistent estimates even when errors are heteroscedastic.
The emergence of portfolio restructuring in Japan by Wu, Zhonghua; Delios, Andrew / Management International Review
West, 1987, "A Simple, Positive Semi-Definite, Heteroscedastic and Autocorrelation Consistent Covariance Matrix," Econometrica 55, 703-708.
Do voting rights affect institutional investment decisions? Evidence ... by Li, Kai; Ortiz-Molina, Hernan; Zhao, Xinlei / Financial Management
 
 
 
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