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Biometrika 1997 84(3):505-522; doi:10.1093/biomet/84.3.505
© 1997 by Biometrika Trust
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On prequential model assessment in life history analysis

ELJA ARJAS and DARIO GASBARRA

Rolf Nevanlinna Institute, University of Helsinki P.O. Box 4, 00014 Helsinki, Finland e-mail: elja.arjas{at}RNI.Helsinki.fi dario{at}solar.oulu.fi

We extend the prequential approach introduced by A. P. Dawid to continuous time marked point processes. A prequential forecasting system is expressed by means of the stochastic intensities of the point process. The exact independence and 1-exponentiality of the derived compensators are used to assess the predictive performance of the model and the inferential procedure.

Key Words: Bayesian inference • Goodness of fit • Marked point process • Markov chain Monte Carlo • Prequential analysis


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