Calibration diagnostics for point process models via the probability integral transform. Issue 1 (21st July 2013)

• Record Type: Journal Article
• Authors: Thorarinsdottir, Thordis L.
• Is Part Of: Stat. Volume 2:Issue 1(2013)
• Page Start: 150
• Page End: 158
• Publication Date: 2013-07-21
• Subjects: calibration -- model validation -- point process -- probability integral transform -- verification rank histogram; Statistics -- Periodicals; 519.2
• DOI: 10.1002/sta4.25
• Languages: English
• ISSNs: 2049-1573

Abstract

Abstract : We propose the use of the probability integral transform (PIT) for model validation in point process models. The simple PIT diagnostic tools assess the calibration of the model and can detect inconsistencies in both the intensity and the interaction structure. For the Poisson model, the PIT diagnostics can be calculated explicitly. Generally, the calibration may be assessed empirically based on random draws from the model, and the method applies to processes of any dimension. Copyright © 2013 John Wiley & Sons Ltd