Heteroskedasticity - i.e. variance specific to each group, j, rather than a single variance for each group-varying parameter?


How to have a variance for each group j rather than only for each group-varyng parameter?

Say I have just a single group-level parameter, estimated for each group say j = 1 \dots J. Assume J=10. How to estimate J (i.e. 10) variances then, one for each group? Rather than just a single variance, common to all groups…as default brms() seems to do?

Many thanks!


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Thanks for this. Is saying sigma ~ group in the brms() code block the same as each group having its own sigma, \sigma_j?

Yes, but note that ~ group will imply dummy coding for group by default as per R base defaults. To estimate separate sigmas directly, use cell-mean coding via ~ 0 + group. Note that estimates of sigma will be on the log-scale by default.