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How to get standard errors from estimated arima?

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s z
s z il 12 Gen 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 Commento
s z
s z il 12 Gen 2018
Modificato: s z il 13 Gen 2018
Found the solution! take sqrt of diagonal EstSE..

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Risposte (1)

Raul Andres Lopez Romero
Raul Andres Lopez Romero il 10 Lug 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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