Computation of Standardized Residuals for MARSS Models
نویسنده
چکیده
based on the definition of Vt. Once we have data,Rt is not the variance of our model residuals because our residuals are now conditioned on a set of observed data. There are two types of conditional model residuals used in MARSS analyses: innovations and smoothations. Innovations are the model residuals at time t using the expected value of X t conditioned on the data from 1 to t−1. Smoothations are the model residuals using the expected value of xt conditioned on all the data, t = 1 to T . Smoothations are used in computing standardized residuals for outlier and structural break detection (Harvey et al., 1998; de Jong and Penzer, 1998; Commandeur and Koopman, 2007).
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