V2EX heteroscedasticity

Heteroscedasticity

释义 Definition

异方差性:在统计/计量经济学中,指回归模型的误差项(残差)在不同观测值或不同自变量水平下方差不恒定的现象。它常会导致常规标准误、t 检验与置信区间不可靠(在不做修正时)。也常见拼写变体 heteroskedasticity(同义)。

发音 Pronunciation (IPA)

/htrskdststi/

例句 Examples

Heteroscedasticity can make ordinary least squares standard errors misleading.
异方差性会使普通最小二乘法的标准误具有误导性。

After plotting the residuals, the researcher detected heteroscedasticity and switched to robust standard errors.
在绘制残差图之后,研究者发现了异方差性,于是改用稳健标准误。

词源 Etymology

该词由希腊语词根构成:**hetero-**(“不同的”)+ -scedasticity(与“散布/离散程度”相关,源自表示“散布、分散”的词根)。整体意思就是“(误差)散布程度不相同”,即方差随条件变化而变化。

相关词 Related Words

文学/经典著作中的用例 Literary Works

  • Introductory Econometrics: A Modern Approach(Jeffrey M. Wooldridge)
  • Econometric Analysis(William H. Greene)
  • Basic Econometrics(Damodar N. Gujarati & Dawn C. Porter)
  • Time Series Analysis(James D. Hamilton)
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