to find the pvalue of arima estimation

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Abdoulaye Camara 2020-4-27

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回答： Balaji 2023-10-31

I want to know, how to get pvalue in the arima parameters estimation?

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Answer 1

Balaji 2023-10-31

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在 MATLAB Online 中打开

To obtain p-values for the parameter estimates in ARIMA model estimation, you can use the 'infer' function. Here's an example:

Mdl1 = estimate(Mdl, y); 
[~, ~, ~, Cov] = infer(Mdl1, y); 
SE = sqrt(diag(Cov)); 
tStat = Mdl1.Coefficients.Estimate ./ SE; 
% Compute the p-values using the cumulative distribution function (CDF) of the t-distribution
df = length(y) - numel(Mdl1.Coefficients.Estimate); 
pValues = 2 * (1 - tcdf(abs(tStat), df)); 