to find the pvalue of arima estimation

2 次查看（过去 30 天）
Abdoulaye Camara
Abdoulaye Camara 2020-4-27
回答： Balaji 2023-10-31
I want to know, how to get pvalue in the arima parameters estimation?

请先登录，再回答此问题。

回答（1 个）

Balaji
Balaji 2023-10-31
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));
Thanks,
Balaji

类别

在 Help Center 和 File Exchange 中查找有关 Conditional Mean Models 的更多信息

标签

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by