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Conditional and predictive probability integral transforms
Author(s) -
O'Reilly Federico J.,
Villegas Cesareo
Publication year - 1987
Publication title -
canadian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.804
H-Index - 51
eISSN - 1708-945X
pISSN - 0319-5724
DOI - 10.2307/3315204
Subject(s) - mathematics , conditional probability , conditional probability distribution , bayesian probability , conditional expectation , probability integral transform , integral transform , statistics , random variable , conditional variance , econometrics , marginal distribution , mathematical analysis , volatility (finance) , autoregressive conditional heteroskedasticity
The conditional probability integral transform, used in goodness‐of‐fit tests, is compared with its Bayesian counterpart, the predictive probability integral transform, and it is shown that under suitable conditions, in the presence of an adequate group structure, they yield the same transformed random variable, usually uniform on the unit interval.