standardizeResi: Residual standardization
In ACDm: Tools for Autoregressive Conditional Duration Models
View source: R/standardizeResi.R
standardizeResi R Documentation
Residual standardization
Description
Standardizes residuals from a fitted ACD model of class 'acdFit' by a probability integral transformation (taking the CDF, using the estimated distribution parameters, of the residuals) or by returning the Cox-Snell residuals.
Usage
standardizeResi(fitModel, transformation = "probIntegral")
Arguments
fitModel
a fitted ACD model of class 'acdFit'.
transformation
type of transformation done, either "probIntegral", or "cox-snell".
Details
The probability integral transformation is done by taking the CDF of the residuals from the model estimation, using the estimated distribution parameters. Under correct specification the probability integral transformed residuals should be iid. uniform(0, 1).
The Cox-Snell residuals is the computed by taking the integrated hazard of the residuals from the model estimation, using the estimated distribution parameters. Under correct specification the probability integral transformed residuals should be iid. unit exponentially distributed.
ACDm documentation built on May 29, 2024, 12:04 p.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
View source: R/standardizeResi.R
| standardizeResi | R Documentation |
Residual standardization
Description
Standardizes residuals from a fitted ACD model of class 'acdFit' by a probability integral transformation (taking the CDF, using the estimated distribution parameters, of the residuals) or by returning the Cox-Snell residuals.
Usage
standardizeResi(fitModel, transformation = "probIntegral")
Arguments
fitModel |
a fitted ACD model of class 'acdFit'. |
transformation |
type of transformation done, either "probIntegral", or "cox-snell". |
Details
The probability integral transformation is done by taking the CDF of the residuals from the model estimation, using the estimated distribution parameters. Under correct specification the probability integral transformed residuals should be iid. uniform(0, 1).
The Cox-Snell residuals is the computed by taking the integrated hazard of the residuals from the model estimation, using the estimated distribution parameters. Under correct specification the probability integral transformed residuals should be iid. unit exponentially distributed.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.