[R] Heteroscedasticity and mgcv.

Collin Lynch collinl at cs.pitt.edu
Sun Oct 27 04:57:51 CET 2013


I have a two part question one about statistical theory and the other
about implementations in R.  Thank you for all help in advance.

(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.

(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.

	Thank you,
	Collin Lynch.



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