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:
“When a thing is said to be not worth refuting you may be sure that either it is flagrantly stupid—in which case all comment is superfluous—or it is something formidable, the very crux of the problem.”
—Miguel de Unamuno (1864–1936)