How to get standard errors from estimated arima?

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)

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s z
s z 2018년 1월 12일
편집: s z 2018년 1월 13일
Found the solution! take sqrt of diagonal EstSE..

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답변 (1개)

Raul Andres Lopez Romero
Raul Andres Lopez Romero 2018년 7월 10일

0 개 추천

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)

카테고리

도움말 센터File Exchange에서 Econometrics Toolbox에 대해 자세히 알아보기

질문:

s z
2018년 1월 12일

답변:

2018년 7월 10일

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