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

Publication: 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.
Original languageEnglish
Place of PublicationVienna
PublisherDepartment of Statistics and Mathematics, WU Vienna University of Economics and Business
Publication statusPublished - 1994

Publication series

NameForschungsberichte / Institut für Statistik
No.40

WU Working Paper Series

  • Forschungsberichte / Institut für Statistik

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