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Get residuals from real data and estimated arima model

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Vardan Petrosyan
Vardan Petrosyan 2016-5-21
回答： ABDULAZIZ ALTUN 2020-4-20
Hi all, I need to estimate ARIMA model parameters and get residuals from the real data and the ARIMA model. Is the infer right function to do that? Currently I am doing this:
initial_arima_model = arima(4,0,2);
arima_model = estimate(initial_arima_model,LEARN_DATA);
[E,V] = infer(arima_model,LEARN_DATA);
plot(LEARN_DATA);
hold on;
plot(LEARN_DATA + E);
hold off;
But I am not sure that this is correct.

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回答（2 个）

Gautam
Gautam 2016-5-25
编辑：Gautam 2016-5-25
Hi Vardan,
You can use the 'resid' function to get residuals from the data and the model.Refer the following documentation for more information about this function:
http://www.mathworks.com/help/ident/ref/resid.html
Regards,
Gautam
ABDULAZIZ ALTUN
ABDULAZIZ ALTUN 2020-4-20
I first fitted the data using
% Fit an ARMA(1,1) model
Mdl = regARIMA(1,0,1);
% EstMdl = estimate(Mdl,Equity_US);
EstMdl =estimate(Mdl,Equity_US);
Once you fit the data, you will need to read the summary of this
summarize(EstMdl)
Once you read the summary you will have to write the model yourself
Mdl = regARIMA('Intercept', 0.08245, 'AR', {0.69916}, 'MA',-0.82486, 'Variance',0.038536);
Now that you have written the model, you can infer the residuals
E = infer(Mdl,Equity_US)

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