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Testy homoskedasticity v lineárním modelu

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Názov: Testy homoskedasticity v lineárním modelu
Autori: Vávra, Jan
Prispievatelia: Komárek, Arnošt, Hlávka, Zdeněk
Informácie o vydavateľovi: 2016.
Rok vydania: 2016
Predmety: heteroskedastický lineární model, heteroscedastic linear model, homoscedasticity, homoskedasticita
Popis: This thesis deals with testing the assumption of homoscedasticity in linear model, that is the assumption of constant variance of this model. There is plenty of such tests, but not all of them can be applied to specific model and not all of them reach satisfactory results under various circumstances. Thesis focuses on tests which can be derived on the basis of the asymptotic theory for maximum likelihood estimation, particularly the test theory with nuisance parameters. There are derived two basic tests, the first one in the situation of analysis of variance model and the second one in the situation when we allow the dependence of variance to concomitant quantities. In subsequent numerical studies there are examined characteristics of derived test statistics. Powered by TCPDF (www.tcpdf.org)
Druh dokumentu: Bachelor thesis
Jazyk: Czech
Prístupová URL adresa: http://www.nusl.cz/ntk/nusl-349953
Prístupové číslo: edsair.od......2186..c65dc0a47061f0c147c4c12bc04c7663
Databáza: OpenAIRE
Popis
Abstrakt:This thesis deals with testing the assumption of homoscedasticity in linear model, that is the assumption of constant variance of this model. There is plenty of such tests, but not all of them can be applied to specific model and not all of them reach satisfactory results under various circumstances. Thesis focuses on tests which can be derived on the basis of the asymptotic theory for maximum likelihood estimation, particularly the test theory with nuisance parameters. There are derived two basic tests, the first one in the situation of analysis of variance model and the second one in the situation when we allow the dependence of variance to concomitant quantities. In subsequent numerical studies there are examined characteristics of derived test statistics. Powered by TCPDF (www.tcpdf.org)