Abstract
The paper presents an omnibus goodness-of-fit (Gof) test for renewal processes based on Dawid’s prequential framework. This test compares models on the basis of their predictive abilities. It uses usual Edf statistics (KS, AD or CvM) of a prequential empirical process which, under standard regulatory conditions, is proven to converge to the Brownian bridge as in the case of known parameters. This result gives an asymptotically distribution free and computationally-simple Gof test. It can be used as a model-checking tool particularly adapted to sequential (or real-time) analysis of reliability or medical lifetimes data modelled by renewal processes. The prequential Gof test still probably valid for more complex models beyond the renewal framework.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
