The distribution of Pearson residuals in generalized linear models

In general, the distribution of residuals cannot be obtained explicitly. In this paper we give an asymptotic formula for the density of Pearson residuals in continuous generalized linear models corrected to order n-1, where n is the sample size. We define a set of corrected Pearson residuals for these models that, to this order of approximation, have exactly the same distribution of the true Pearson residuals. An application to a real data set and simulation results for a gamma model illustrate the usefulness of our corrected Pearson residuals.