Masters candidate in Biostatistics, Evan Olawsky, will present:

“Non-Parametric Subset Scanning for Detection of Heteroscedasticity”

Plan B Adviser: Jim Hodges

Abstract: This talk introduces 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”. We demonstrate that HSS is capable of detecting heteroscedasticity in a wide range of settings, including in several cases where existing global tests lack power. Furthermore, the global power of our method compares favorably to methods such as the Breusch-Pagan test.