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From: Olina Duan on 3 Jul 2010 21:35
After estimating the parameters, how to get the robust standard erros of the parameters in MATLAB?
I am new to MATLAB, please tell me the orders in detail.
Thanks!
From: Wayne King on 4 Jul 2010 05:50
"Olina Duan" <tuzixiaona(a)sina.com> wrote in message <i0oog9$h$1(a)fred.mathworks.com>...
> After estimating the parameters, how to get the robust standard erros of the parameters in MATLAB?
> I am new to MATLAB, please tell me the orders in detail.
> Thanks!

Hi Olina, I think you should provide more specific information about your particular use case. For example, what parameters are you estimating? You should provide some code examples.

For example, are your parameters estimated in a regression model and you have evidence that the errors are autocorrelated and/or heteroskedastic? I'm assuming from your post that you are indeed interested in robust estimates of the standard errors and not robust estimates of the parameters themselves.

As one example, robustfit in the Statistics Toolbox performs robust regression (robust estimation of the regression parameters), and returns a robust estimate of the error.

Wayne
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