SEILLIERMOISEIWITSCH, F;
SWEETING, TJ;
DAWID, AP;
(1992)
PREQUENTIAL TESTS OF MODEL FIT.
SCAND J STAT
, 19
(1)
45 - 60.
Abstract
A new approach to testing the goodness-of-fit of a statistical model is presented, based on its success at making successive probability forecasts for a sequence of realized data-values. This approach suggests the use of test-statistics of a certain form, whose asymptotic distribution is investigated. Heuristic arguments suggest that such a statistic will have an asymptotically standard normal distribution under the null hypothesis, under wide conditions which do not require independence. This is confirmed in specific examples, and a rigorous proof is supplied for the case of Bayesian probability forecasts in independence models.
| Type: | Article |
|---|---|
| Title: | PREQUENTIAL TESTS OF MODEL FIT |
| Keywords: | BAYESIAN PROBABILITY FORECAST, BERNOULLI VARIABLES, GOODNESS-OF FIT, PREQUENTIAL TEST |
| UCL classification: | UCL > School of BEAMS UCL > School of BEAMS > Faculty of Maths and Physical Sciences |
| URI: | http://discovery.ucl.ac.uk/id/eprint/75730 |
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