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)

1 commentaire

s z
s z le 12 Jan 2018
Modifié(e) : s z le 13 Jan 2018
Found the solution! take sqrt of diagonal EstSE..

Connectez-vous pour commenter.

Réponses (1)

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)

Catégories

En savoir plus sur Econometrics Toolbox dans Centre d'aide et File Exchange

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by