Effacer les filtres
Effacer les filtres

How to get standard errors from estimated arima?

5 vues (au cours des 30 derniers jours)
s z
s z le 12 Jan 2018
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..

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Raul Andres Lopez Romero
Raul Andres Lopez Romero le 10 Juil 2018
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)

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