Get residuals from real data and estimated arima model
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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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Answers (2)
Gautam
on 25 May 2016
Edited: Gautam
on 25 May 2016
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:
Regards,
Gautam
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ABDULAZIZ ALTUN
on 20 Apr 2020
It does not work!
Mdl = regARIMA(1,0,1);
resid(Equity_US,Mdl)
It does not give the residuals!
ABDULAZIZ ALTUN
on 20 Apr 2020
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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