Quotation Frühwirth-Schnatter, Sylvia. 1996. Recursive residuals and model diagnostics for normal and nonnormal state space models. Environmental and Ecological Statistics. 3 291-309.


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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.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Environmental and Ecological Statistics
Citation Index SCI
Language English
Title Recursive residuals and model diagnostics for normal and nonnormal state space models
Volume 3
Year 1996
Page from 291
Page to 309
URL http://epub.wu.ac.at/1540/1/document.pdf
DOI http://dx.doi.org/10.1007/BF00539368
Open Access N

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Frühwirth-Schnatter, Sylvia (Details)
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Institute for Statistics and Mathematics IN (Details)
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