How to calculate p-value for AR model? How to determine significance?
5 visualizaciones (últimos 30 días)
Mostrar comentarios más antiguos
MC3105
el 30 de Oct. de 2014
Editada: Roger Wohlwend
el 31 de Oct. de 2014
Hello everyone!!
I am using the arima model command to create an AR(2) model. When running the program matlab tells the me value of the t-Statistic for each of the two AR parameters.
How can I tell from the output whether the parameter is significant? Is there a way to calculate the p-value for each of my two AR parameters?
Thanks alot!!
0 comentarios
Respuesta aceptada
Roger Wohlwend
el 31 de Oct. de 2014
Editada: Roger Wohlwend
el 31 de Oct. de 2014
You don't need the p-values. If the absolute value of the t-statistics is 2 or greater, the coefficient is significant.
2 comentarios
Roger Wohlwend
el 31 de Oct. de 2014
Editada: Roger Wohlwend
el 31 de Oct. de 2014
If the degrees of freedom is high enough the t distribution approaches the standard normal distribution. In such a distribution the values between -2 and 2 (twice the standard deviation from the mean) occur approximately in 95 % of the cases. That is why a t-statistics of 2 or greater corresponds to a confidence level of 5 %.
The exact value is not 2 but 1.96. You can calculate it with the following formula:
tstat = norminv(1-confidenceLevel/2,0,1)
The exact formula is
tstat = -tinv(confidenceLevel/2,DegreesOfFreedom)
So if you want a different confidence level than 5 % use the formula above to see what the t-statistics must be.
If you want to calculate the p-value from the t-statistics, use the following formula:
pVal = 2*(tcdf(-abs(tValue), dof));
where tValue is the coefficient divided by its standard deviation and dof is the degrees of freedom.
Más respuestas (0)
Ver también
Categorías
Más información sobre Preprocessing Data en Help Center y File Exchange.
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!