p value for ARIMA estimate
10 views (last 30 days)
Show older comments
HI!
I would like to compute the p value for prediction values computed by ARIMA estimate procedure.
So anyone have the idea to convert the t statistic from estimate output to p-value?
ARIMA(1,0,1) Model Seasonally Integrated:
------------------------------------------
Conditional Probability Distribution: Gaussian
Standard t
Parameter Value Error Statistic
----------- ----------- ------------ -----------
Constant -0.00203829 0.0288986 -0.0705324
AR{1} 0.955181 0.00521754 183.071
MA{1} 0.075271 0.0133443 5.64067
Variance 2.07345 0.0277501 74.7186
Also, How can I conduct the Modified Box-Pierce (Ljung-Box) Chi-Square statistic for the fitted model?
3 Comments
Answers (1)
Karoline Qasem
on 4 May 2018
I think you can find the answer here: https://www.mathworks.com/help/econ/check-model-for-airline-passenger-data.html
0 Comments
See Also
Categories
Find more on Conditional Mean Models in Help Center and File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!