Skip to Main Content
HBS Home
  • About
  • Academic Programs
  • Alumni
  • Faculty & Research
  • Baker Library
  • Giving
  • Harvard Business Review
  • Initiatives
  • News
  • Recruit
  • Map / Directions
Faculty & Research
  • Faculty
  • Research
  • Featured Topics
  • Academic Units
  • …→
  • Harvard Business School→
  • Faculty & Research→
Publications
Publications
  • 2022
  • Article
  • Journal of Computational and Graphical Statistics

Nonparametric Subset Scanning for Detection of Heteroscedasticity

By: Charles R. Doss and Edward McFowland III
  • Format:Print
  • | Pages:11
ShareBar

Abstract

We propose Heteroscedastic Subset Scan (HSS), a novel method for identifying covariates that are responsible for violations of the homoscedasticity assumption in regression settings. Viewing the problem as one of anomalous pattern detection, we use subset scanning techniques to efficiently identify the subset of covariates that are most “heteroscedastically relevant”. Through simulations and a real data example, we demonstrate that HSS is capable of detecting heteroscedasticity in a wide range of settings, including in cases where existing global tests lack power. Furthermore, the global power of our method compares favorably to methods such as the Breusch-Pagan test.

Keywords

Scan Statistics; Anomaly Detection; Regression; Model Diagnostics

Citation

Doss, Charles R., and Edward McFowland III. "Nonparametric Subset Scanning for Detection of Heteroscedasticity." Journal of Computational and Graphical Statistics 31, no. 3 (2022): 813–823.
  • Find it at Harvard
  • Purchase

About The Author

Edward McFowland III

Technology and Operations Management
→More Publications

More from the Authors

    • October–December 2022
    • INFORMS Journal on Data Science

    Achieving Reliable Causal Inference with Data-Mined Variables: A Random Forest Approach to the Measurement Error Problem

    By: Mochen Yang, Edward McFowland III, Gordon Burtch and Gediminas Adomavicius
    • Pattern Recognition Letters

    Pattern Detection in the Activation Space for Identifying Synthesized Content

    By: Celia Cintas, Skyler Speakman, Girmaw Abebe Tadesse, Victor Akinwande, Edward McFowland III and Komminist Weldemariam
    • MIS Quarterly

    A Prescriptive Analytics Framework for Optimal Policy Deployment Using Heterogeneous Treatment Effects

    By: Edward McFowland III, Sandeep Gangarapu, Ravi Bapna and Tianshu Sun
More from the Authors
  • Achieving Reliable Causal Inference with Data-Mined Variables: A Random Forest Approach to the Measurement Error Problem By: Mochen Yang, Edward McFowland III, Gordon Burtch and Gediminas Adomavicius
  • Pattern Detection in the Activation Space for Identifying Synthesized Content By: Celia Cintas, Skyler Speakman, Girmaw Abebe Tadesse, Victor Akinwande, Edward McFowland III and Komminist Weldemariam
  • A Prescriptive Analytics Framework for Optimal Policy Deployment Using Heterogeneous Treatment Effects By: Edward McFowland III, Sandeep Gangarapu, Ravi Bapna and Tianshu Sun
ǁ
Campus Map
Harvard Business School
Soldiers Field
Boston, MA 02163
→Map & Directions
→More Contact Information
  • Make a Gift
  • Site Map
  • Jobs
  • Harvard University
  • Trademarks
  • Policies
  • Accessibility
  • Digital Accessibility
Copyright © President & Fellows of Harvard College