[R] Heteroscedasticity and mgcv.

COLLINL at pitt.edu COLLINL at pitt.edu
Tue Oct 29 18:29:57 CET 2013

Thank you Simon that's quite helpful!  I'll compare that with the GLMSS


>> (1) Am I correct in understanding that Heteroscedasticity is a problem
>> for
>> Generalized Additive Models as it is for standard linear models?  I am
>> asking particularly about the GAMs as implemented in the mgcv package.
>> Based upon my online search it seems that some forms of penalized
>> splines
>> can address heteroscedasticity while others cannot and I'm not sure what
>> is true of the methods used in mgcv.
> - Yes, the mgcv implementation estimates the models via penalized
> likelihood maximisation, and will be as sensitive to violation of the
> assumed mean variance relationship as any GLM fitted by MLE.
>> (2) Assuming that heteroscedasticity is a problem for the mgcv GAMs, can
>> anyone recommend a good test implementation?  I am familiar with the
>> ncvTest method implemented in the car package but that applies only to
>> lms.
> - I tend to check for heteroscedasticity graphically using the usual
> plots of residuals vs fitted values, predictors (and possibly
> combinations of predictors). I like the way that plots often point
> towards a solution to any problem they show.
> best,
> Simon
>> 	Thank you,
>> 	Collin Lynch.
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> --
> Simon Wood, Mathematical Science, University of Bath BA2 7AY UK
> +44 (0)1225 386603               http://people.bath.ac.uk/sw283

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