How to get standard errors from estimated arima?
5 ビュー (過去 30 日間)
古いコメントを表示
Hiya, When executing the following code the command window will display the estimated parameters + standard errors. The coefficients can be obtained from EstMdl but I cannot find a way to obtain the shown standard errors. Maye someone can help me out - Thanks in advance!
/Jack
Mdl= arima('ARLags',1,'SARLags',12);
[EstMdl,EstSE,logL,info] = estimate(Mdl,data)
回答 (1 件)
Raul Andres Lopez Romero
2018 年 7 月 10 日
For infer the residuals you need to use the 'infer' function over your ARIMA model try this:
residuals=infer(EstMdl,data)
If you want the 'standarized residuals' you need to do this:
stdresiduals=residuals./sqrt(EstMdl.Variance)
0 件のコメント
参考
カテゴリ
Help Center および File Exchange で Conditional Mean Models についてさらに検索
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!