residuals: Calculate one-step-ahead (OSA) residuals for stochastic...

In stochvolTMB: Likelihood Estimation of Stochastic Volatility Models

Description

This function is very time consuming and by default computes the one-step-ahead residual for the last 100 observations. See the function oneStepPredict and the paper in the references for more details.

Usage

residuals(object, conditional = 1:(object$nobs - 100), ...)

Arguments

object	A stochvolTMB object.
conditional	Index vector of observations that are fixed during OSA. By default the residuals of the last 100 observations are calculated. If set to NULL it will calculate one-step-ahead residuals for all observations.
...	Currently not used.

Value

Vector of one-step-ahead residuals. If the model is correctly specified, these should be standard normal.

References

https://www.researchgate.net/publication/316581864_Validation_of_ecological_state_space_models_using_the_Laplace_approximation

stochvolTMB documentation built on Aug. 13, 2021, 5:07 p.m.