Estimate p-values of fitted parameters using armax from sysid toolbox

Hello!

I'm looking to find a way to find the p-value of the estimated parameters of an armax model fitted using the "armax" command of the System Identification Toolbox.

Any ideas?

Thank you

Answer 1

[Ive J]

armax returns parameters and their uncertainties; then you can calculate the p-values.

load iddata9 z9
na = 4;
nc = 1;
sys = armax(z9,[na nc]);
[es, sd] = getpvec(sys);

p = (1 - normcdf(abs(es)./sd)).*2 % or 1 - chi2cdf((es./sd).^2, 1)

p = 5×1

0 0.4105 0.7223 0 0

Note that the assumption here is that estimates are from an MLE (i.e. assymptoticaly normal). See also here.