Universal residuals: A multivariate transformation

被引：39

作者：

Brockwell, A. E.

机构：

[1] Department of Statistics, Carnegie Mellon University, Pittsburgh

来源：

STATISTICS & PROBABILITY LETTERS | 2007年 / 77卷 / 14期

关键词：

residuals; hypercube; uniform; generalized linear models; time series; survival analysis; KOLMOGOROV-SMIRNOV; MODELS;

D O I：

10.1016/j.spl.2007.02.008

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Rosenblatt's transformation has been used extensively for the evaluation of model goodness-of-fit, but it only applies to models whose joint distribution is continuous. In this paper we generalize the transformation so that it applies to arbitrary probability models. The transformation is simple, but has a wide range of possible applications, providing a tool for exploratory data analysis and formal goodness-of-fit testing for a very general class of probability models. The method is demonstrated with specific examples. (c) 2007 Elsevier B.V. All rights reserved.

引用

页码：1473 / 1478

页数：6

共 14 条

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