The Laplace Likelihood Ratio Test for Heteroscedasticity
It is shown that the likelihood ratio test for heteroscedasticity, assuming the Laplace distribution, gives good results for Gaussian and fat-tailed data. The likelihood ratio test, assuming normality, is very sensitive to a...
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| Format: | Article |
| Language: | English |
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Hindawi Limited
2011-01-01
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| Series: | International Journal of Mathematics and Mathematical Sciences |
| Online Access: | http://dx.doi.org/10.1155/2011/249564 |