Get residuals from real data and estimated arima model

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.

Answer 1

[Gautam]

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:

http://www.mathworks.com/help/ident/ref/resid.html

Regards,

Gautam

[ABDULAZIZ ALTUN]

It does not work!

Mdl = regARIMA(1,0,1);
resid(Equity_US,Mdl)

It does not give the residuals!

Answer 2

[ABDULAZIZ ALTUN]

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)