Heteroskedastic

AAA

DEFINITION of 'Heteroskedastic'

A measure in statistics that refers to the variance of errors over a sample. Heteroskedasticity is present in samples where random variables display differing variabilities than other subsets of the variables. Such results can cause errors in regression analysis and other statistical measures in which statistical measures can be incorrectly justified.

INVESTOPEDIA EXPLAINS 'Heteroskedastic'

Most financial instruments, such as stocks, follow a heteroskedastic error pattern. For example, in regression, a mathematical relationship between a stock and some other type of measure is to be discovered over a period of time. The error found between the line of best fit and the actual data point will vary; for instance, as each variable gets larger the error may increase.

RELATED TERMS
  1. Line Of Best Fit

    A straight line drawn through the center of a group of data points ...
  2. Poisson Distribution

    A statistical distribution showing the frequency probability ...
  3. Regression

    A statistical measure that attempts to determine the strength ...
  4. Homoskedastic

    A statistics term indicating that the variance of the errors ...
  5. Autocorrelation

    A mathematical representation of the degree of similarity between ...
  6. Sampling Error

    A statistical error to which an analyst exposes a model simply ...
Related Articles
  1. The P/E Ratio: A Good Market-Timing ...
    Budgeting

    The P/E Ratio: A Good Market-Timing ...

  2. The Gann Studies
    Technical Indicators

    The Gann Studies

  3. Breaking Down The Geometric Mean
    Investing Basics

    Breaking Down The Geometric Mean

  4. Accelerating Returns With Continuous ...
    Bonds & Fixed Income

    Accelerating Returns With Continuous ...

comments powered by Disqus
Hot Definitions
  1. Stop-Limit Order

    An order placed with a broker that combines the features of stop order with those of a limit order. A stop-limit order will ...
  2. Pareto Principle

    A principle, named after economist Vilfredo Pareto, that specifies an unequal relationship between inputs and outputs. The ...
  3. Pareto Principle

    A principle, named after economist Vilfredo Pareto, that specifies an unequal relationship between inputs and outputs. The ...
  4. Budget Deficit

    A status of financial health in which expenditures exceed revenue. The term "budget deficit" is most commonly used to refer ...
  5. Floating Exchange Rate

    A country's exchange rate regime where its currency is set by the foreign-exchange market through supply and demand for that ...
  6. Underwriting

    1. The process by which investment bankers raise investment capital from investors on behalf of corporations and governments ...
Trading Center