Journal of the Royal Statistical Society: Series C (Applied Statistics) vol:49 issue:Part 2 pages:247-268
Model checking with discrete data regressions can be difficult because the usual methods such as residual plots have complicated reference distributions that depend on the parameters in the model. Posterior predictive checks have been proposed as a Bayesian way to average the results of goodness-of-fit tests in the presence of uncertainty in estimation of the parameters. We try this approach using a variety of discrepancy variables for generalized linear models fitted to a historical data set on behavioural learning. We then discuss the general applicability of our findings in the context of a recent applied example on which we have worked. We find that the following discrepancy variables work well, in the sense of being easy to interpret and sensitive to important model failures: structured displays of the entire data set, general discrepancy variables based on plots of binned or smoothed residuals versus predictors and specific discrepancy variables created on the basis of the particular concerns arising in an application. Plots of binned residuals are especially easy to use because their predictive distributions under the model are sufficiently simple that model checks can often be made implicitly. The following discrepancy variables did not work well: scatterplots of latent residuals defined from an underlying continuous model and quantile-quantile plots of these residuals.