How to get standard errors from estimated arima?

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 Kommentar

s z
s z am 12 Jan. 2018
Bearbeitet: s z am 13 Jan. 2018
Found the solution! take sqrt of diagonal EstSE..

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Antworten (1)

Raul Andres Lopez Romero
Raul Andres Lopez Romero am 10 Jul. 2018

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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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s z
am 12 Jan. 2018

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