结合相关随机变量的回归分析的异方差诊断

IF 0.6 4区 数学 Q4 STATISTICS & PROBABILITY
A. Sheikhi, Fereshteh Arad, R. Mesiar
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引用次数: 0

摘要

多元回归分析中最重要的假设之一是解释变量的独立性,然而,在某些情况下违反了这一假设。在这项工作中,我们研究了当这种独立性不成立并且解释变量由许多椭圆Copula连接时的回归方程。我们将所提出的回归方程应用于研究其异方差诊断,并使用模拟数据评估我们的回归模型。执行交叉验证程序以确保结果的无偏性。此外,还介绍了一个实际数据分析的应用程序。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
A heteroscedasticity diagnostic of a regression analysis with copula dependent random variables
One of the most important assumptions in multiple regression analysis is the independence of the explanatory variables, however, this assumption is violated in several situations. In this work, we investigate regression equations when this independence does not hold and the explanatory variables are connected by many of elliptical copulas. We apply the proposed regression equation to study its heteroscedasticity diagnostic and using simulated data we also assess our regression model. A cross-validation procedure is carried out to ensure the unbiasedness of the results. Also, a real data analysis is presented as an application.
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来源期刊
CiteScore
1.60
自引率
10.00%
发文量
30
审稿时长
>12 weeks
期刊介绍: The Brazilian Journal of Probability and Statistics aims to publish high quality research papers in applied probability, applied statistics, computational statistics, mathematical statistics, probability theory and stochastic processes. More specifically, the following types of contributions will be considered: (i) Original articles dealing with methodological developments, comparison of competing techniques or their computational aspects. (ii) Original articles developing theoretical results. (iii) Articles that contain novel applications of existing methodologies to practical problems. For these papers the focus is in the importance and originality of the applied problem, as well as, applications of the best available methodologies to solve it. (iv) Survey articles containing a thorough coverage of topics of broad interest to probability and statistics. The journal will occasionally publish book reviews, invited papers and essays on the teaching of statistics.
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