Strategies for Detecting and Addressing Homoscedasticity Challenges in Regression Analysis

btd
6 min readNov 11, 2023

Homoscedasticity is a term used in statistics and regression analysis to describethe characteristic of constant variance of the errors or residuals across all levels of the independent variable(s). Here’s everything you need to know about homoscedasticity:

I. Basics of Homoscedasticity

  1. Constant Variance: In a homoscedastic dataset, the spread (or variability) of the residuals remains constant as you move along the values of the independent variable(s).
  2. Assumption in Regression: Homoscedasticity is one of the key assumptions in linear regression. Violation of this assumption can affect the accuracy of regression models.

II. Detection of Homoscedasticity

1. Residual Plots:

  • One common way to detect homoscedasticity is by creating residual plots. Plotting residuals against the predicted values should show a random scatter of points without a discernible pattern.
import matplotlib.pyplot as plt
import numpy as np
from sklearn.linear_model import LinearRegression

# Supposed you already have processed your X and y

# Fit a linear regression model
model = LinearRegression()
model.fit(X, y)

# Make predictions
y_pred = model.predict(X)

# Calculate residuals
residuals = y - y_pred

# Create a residual plot
plt.figure(figsize=(8, 6))
plt.scatter(X, residuals, c='blue', alpha=0.6)
plt.axhline(y=0, color='red', linestyle=' - ', linewidth=2)
plt.title('Residual Plot')
plt.xlabel('Independent Variable')
plt.ylabel('Residuals')
plt.show()
(source)
  • “Unbiased” refers to the residuals having an average of zero.
  • “Biased” refers to a systematic deviation from the true values.
  • “Homoscedastic” means constant variance of residuals across the plot.
  • “Heteroscedastic” means varying variance of residuals across the plot.

a. Unbiased and homoscedastic: The residuals average to zero in each thin vertical strip…

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