scoreresid.msm: Score residuals
In msm: Multi-State Markov and Hidden Markov Models in Continuous Time

scoreresid.msm

R Documentation

Score residuals

Description

Score residuals for detecting outlying subjects.

Usage

scoreresid.msm(x, plot = FALSE)

Arguments

`x`	A fitted multi-state model, as returned by `msm`.
`plot`	If `TRUE`, display a simple plot of the residuals in subject order, labelled by subject identifiers

Details

The score residual for a single subject is

U(\theta)^T I(\theta)^{-1} U(\theta)

where U(\theta) is the vector of first derivatives of the log-likelihood for that subject at maximum likelihood estimates \theta, and I(\theta) is the observed Fisher information matrix, that is, the matrix of second derivatives of minus the log-likelihood for that subject at theta.

Subjects with a higher influence on the maximum likelihood estimates will have higher score residuals.

These are only available for models with analytic derivatives (which includes all non-hidden and most hidden Markov models).