Estimate p-values of fitted parameters using armax from sysid toolbox

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Enrico Gambini
Enrico Gambini 2022 年 2 月 28 日
回答済み: Ive J 2022 年 3 月 1 日
I'm looking to find a way to find the p-value of the estimated parameters of an armax model fitted using the "armax" command of the System Identification Toolbox.
Any ideas?
Thank you


Ive J
Ive J 2022 年 3 月 1 日
armax returns parameters and their uncertainties; then you can calculate the p-values.
load iddata9 z9
na = 4;
nc = 1;
sys = armax(z9,[na nc]);
[es, sd] = getpvec(sys);
p = (1 - normcdf(abs(es)./sd)).*2 % or 1 - chi2cdf((es./sd).^2, 1)
p = 5×1
0 0.4105 0.7223 0 0
Note that the assumption here is that estimates are from an MLE (i.e. assymptoticaly normal). See also here.

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