Hello all,
Suppose one has estimated a state-space model using the following.
id = iddata(data',[],Ts);sys = ssest(id, 2, 'Ts',id.Ts, 'DisturbanceModel','estimate');
Where data is a (output-only) time-series. Then, forecasting is as follows.
frc = forecast(sys, id, K);
My question is, how can one get the confidence intervals of the forecasted output, given that the system has uncertainties? The uncertainties of the model can be obtained with
[pvec, pvec_sd] = getpvec(sys) % parameter values and std deviations
An overview of the identified system is available with
present(sys)
Thank you in advance!
Best Answer