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Hello. I want to calculate the covariance matrix for a parameter vector Q[1x24].

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In this picture the formula that may be used is displayed. I need this for getting the covariance matrix of a parameter vector. In other applications in which I use AutoRegressive (AR), ARX models, I use matlab's command 'model=arx(y,24)' and to get the covariance matrix I used model.covariancematrix. However, now I use VARMA models and I only have the parameter vector. Is there a way of getting the covariance matrix out of the parameter vector (In AR case: model.parametervector)

Answers (1)

Askic V
Askic V on 16 Feb 2024
Edited: Askic V on 16 Feb 2024
Is this helpful to you?
I have used the example from Matlab documentation.
load iddata9 z9
Ts = z9.Ts;
y = cumsum(z9.y);
model = ar(y, 4, 'ls', 'Ts', Ts, 'IntegrateNoise', true);
param_vector = model.Report.Parameters.ParVector
param_vector = 4×1
-0.7878 -0.4768 -0.0925 0.4653
covar = model.Report.Parameters.FreeParCovariance
covar = 4×4
0.0015 -0.0015 -0.0005 0.0006 -0.0015 0.0027 -0.0008 -0.0004 -0.0005 -0.0008 0.0028 -0.0015 0.0006 -0.0004 -0.0015 0.0014

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