Hello. I want to calculate the covariance matrix for a parameter vector Q[1x24].

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SAMPETAI 2024-2-5

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https://ww2.mathworks.cn/matlabcentral/answers/2078416-hello-i-want-to-calculate-the-covariance-matrix-for-a-parameter-vector-q-1x24

编辑： Askic V 2024-2-16

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In this picture the formula that may be used is displayed. I need this for getting the covariance matrix of a parameter vector. In other applications in which I use AutoRegressive (AR), ARX models, I use matlab's command 'model=arx(y,24)' and to get the covariance matrix I used model.covariancematrix. However, now I use VARMA models and I only have the parameter vector. Is there a way of getting the covariance matrix out of the parameter vector (In AR case: model.parametervector)

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Answer 1

Askic V 2024-2-16

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https://ww2.mathworks.cn/matlabcentral/answers/2078416-hello-i-want-to-calculate-the-covariance-matrix-for-a-parameter-vector-q-1x24#answer_1410283

编辑：Askic V 2024-2-16

在 MATLAB Online 中打开

Is this helpful to you?

I have used the example from Matlab documentation.

load iddata9 z9
Ts = z9.Ts;
y = cumsum(z9.y);
model = ar(y, 4, 'ls', 'Ts', Ts, 'IntegrateNoise', true);
param_vector = model.Report.Parameters.ParVector
param_vector = 4×1
   -0.7878
   -0.4768
   -0.0925
    0.4653
covar = model.Report.Parameters.FreeParCovariance
covar = 4×4
    0.0015   -0.0015   -0.0005    0.0006
   -0.0015    0.0027   -0.0008   -0.0004
   -0.0005   -0.0008    0.0028   -0.0015
    0.0006   -0.0004   -0.0015    0.0014