Resource title

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

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Resource description

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. (author's abstract) ; Series: Forschungsberichte / Institut für Statistik

Resource author

Sylvia Frühwirth-Schnatter

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Resource publish date

Resource language

en

Resource content type

application/pdf

Resource resource URL

http://epub.wu.ac.at/1540/1/document.pdf

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