Multivariate Case
The immediate generalisation of the above, which considers only scalar random variables, is to multivariate heteroscedasticity. One version of this is to use covariance matrices as the multivariate measure of dispersion. Several authors have considered tests in this context, for both regression and grouped-data situations.
Read more about this topic: Heteroscedasticity
Famous quotes containing the word case:
“While the light burning within may have been divine, the outer case of the lamp was assuredly cheap enough. Whitman was, from first to last, a boorish, awkward poseur.”
—Rebecca Harding Davis (1831–1910)