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

Publication: Working/Discussion PaperWU Working Paper

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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.

Publication series

SeriesForschungsberichte / Institut für Statistik
Number40

WU Working Paper Series

  • Forschungsberichte / Institut für Statistik

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