JSM 2005 - Toronto

Abstract #304586

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Legend: = Applied Session, = Theme Session, = Presenter
Activity Number: 277
Type: Contributed
Date/Time: Tuesday, August 9, 2005 : 10:30 AM to 12:20 PM
Sponsor: Section on Quality and Productivity
Abstract - #304586
Title: Building Variance Models for Regression with Heteroscedasticity
Author(s): Fassil Nebebe*+ and Tak K. Mak
Companies: Concordia University and Concordia University
Address: Dept of Decision Sciences MIS, Montreal, H3G1M8, Canada
Keywords:
Abstract:

We propose a method of building variance model for heteroscedastic regression and extended quasi-likelihood in which the dispersion parameter is also a function of covariates. The method uses a projection pursuit type of approach, but is effectively parametric in nature so statistical inference is made considerably simpler for practitioners. An exploratory approach is used first to identify a parsimonious model, which is then followed by a confirmatory analysis. The methodology developed is particularly relevant to offline quality control, which uses the dispersion parameter in extended quasi-likelihood to model "performance measure independent of adjustment."

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