3 things that will surprise you about model validation and calibration for state space models

Gurjinder Mohan writes:

I was wondering if you had any advice specific to state space models when attempting model validation and calibration. I was planning on conducting a graphical posterior predictive check.

I’d also recommend fake-data simulation. Beyond that, I’d need to know more about the example.

I’m posting here because this seems like a topic that some commenters could help on (and could supply the 3 things promised by the above title).

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