A fully nonparametric diagnostic test for homogeneity of variances

作者：Wang L^*; Zhou XH

来源：Canadian Journal of Statistics, 2005, 33(4): 545-558.

• analysis of variance
• constant variance
• health care costs
• heteroscedastic errors
• nearest-neighbour windows
• nonparametric regression
• residual

The authors propose a new nonparametric diagnostic test for checking the constancy of the conditional variance function sigma(2)(x) in the regression model Y-i = m(x(i)) + sigma(x(i))epsilon(i), i = 1,.., m. Their test, which does not assume a known parametric form for the conditional mean function m(x), is inspired by a recent asymptotic theory in the analysis of variance when the number of factor levels is large. The authors demonstrate through simulations the good finite-sample properties of the test and illustrate its use in a study on the effect of drug utilization on health care costs.

• 出版日期2005-12