Description Usage Arguments Details Value References Examples
View source: R/carx_residuals.R
Computes the residuals of fitted carx
object.
When no censoring is present, the ordinary residuals will be computed.
Otherwise, the simulated residuals (Gourieroux, Monfort, Renault, and Trognon 1987) of a
fitted carx
object will be computed, as suggested in Wang and Chan (2017).
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object |
a fitted |
type |
a string indicates which type of residual is to be returned. "raw" returns the (simulated) residuals; "pearson" returns the raw residuals divided by estimated standard error of the residuals. |
seed |
the seed for the random number generator. |
... |
not used. |
The simulated residuals are constructed as follows. First, impute each unobserved Y_t^* by a (random) realization from the conditional distribution D(Y_t^*|\{(Y_s,X_s)\}_{s=1}^t), evaluated at the parameter estimate. Then, refit the model with (Y_t^* , X_t) so obtained, via the method of conditional maximum likelihood; the residuals from the latter model are the simulated residuals \varepsilon_t.
the simulated residuals.
Gourieroux C, Monfort A, Renault E, Trognon A (1987). "Simulated residuals." Journal of Econometrics, 34(1), 201-252.
Wang C, Chan KS (2017). "Quasi-likelihood estimation of a censored autoregressive model with exogenous variables." Journal of the American Statistical Association. 2017 Mar 20(just-accepted).
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