We introduce conditional score residuals and provide a general framework for the diagnostic analysis of time series … models. A key feature of conditional score residuals is that they account for the shape of the conditional distribution … function for conditional score residuals are formally derived. The results yield a unified theory for the diagnostic analysis …

We introduce conditional score residuals and provide a general framework for the diagnostic analysis of time series … models. A key feature of conditional score residuals is that they account for the shape of the conditional distribution … function for conditional score residuals are formally derived. The results yield a unified theory for the diagnostic analysis …