Recursive Residuals and Model Diagnostics for Normal and Non-Normal State Space Models

Publikation: Working/Discussion PaperWU Working Paper

Abstract

Model diagnostics for normal and non-normal state space models is based on recursive residuals which are defined from the one-step ahead predictive distribution. Routine calculation of these residuals is discussed in detail. Various tools of diagnostics are suggested to check e.g. for wrong observation distributions and for autocorrelation. The paper also covers such topics as model diagnostics for discrete time series, model diagnostics for generalized linear models, and model discrimination via Bayes factors.
OriginalspracheEnglisch
ErscheinungsortVienna
HerausgeberDepartment of Statistics and Mathematics, WU Vienna University of Economics and Business
PublikationsstatusVeröffentlicht - 1994

Publikationsreihe

NameForschungsberichte / Institut für Statistik
Nr.40

WU Working Paper Reihe

  • Forschungsberichte / Institut für Statistik

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