matlab armax残差,What Is Residual Analysis?

What Is Residual Analysis?

Residuals are differences between the one-step-predicted

output from the model and the measured output from the validation

data set. Thus, residuals represent the portion of the validation

data not explained by the model.

Residual analysis consists of two tests: the whiteness test

and the independence test.

According to the whiteness test criteria,

a good model has the residual autocorrelation function inside the

confidence interval of the corresponding estimates, indicating that

the residuals are uncorrelated.

According to the independence test criteria,

a good model has residuals uncorrelated with past inputs. Evidence

of correlation indicates that the model does not describe how part

of the output relates to the corresponding input. For example, a peak

outside the confidence interval for lag k means

that the output y(t) that originates from the

input u(t-k) is not properly described by the

model.

Your model should pass both the whiteness and the independence

tests, except in the following cases:

For output-error (OE) models and when using instrumental-variable

(IV) methods, make sure that your model shows independence of e and u,

and pay less attention to the results of the whiteness of e.

In this case, the modeling focus is on the dynamics G and

not the disturbance properties H.

Correlation between residuals and input for negative

lags, is not necessarily an indication of an inaccurate model.

When current residuals at time t affect

future input values, there might be feedback in your system. In the

case of feedback, concentrate on the positive lags in the cross-correlation

plot during model validation.Supported Model Types

You can validate parametric linear and nonlinear models by checking

the behavior of the model residuals. For a description of residual

analysis, see What Residual Plots Show for Different Data Domains.

Note

Residual analysis plots are not available for frequency response

(FRD) models. For time-series models, you can only generate model-output

plots for parametric models using time-domain time-series (no input)

measured data.What Residual Plots Show for Different Data Domains

Residual analysis plots show different information depending

on whether you use time-domain or frequency-domain input-output validation

data.

For time-domain validation data, the plot shows the following

two axes:

Autocorrelation function of the residuals for each

output

Cross-correlation between the input and the residuals

for each input-output pair

Note

For time-series models, the residual analysis plot does not

provide any input-residual correlation plots.

For frequency-domain validation data, the plot shows the following

two axes:

Estimated power spectrum of the residuals for each

output

Transfer-function amplitude from the input to the

residuals for each input-output pair

For linear models, you can estimate a model using time-domain

data, and then validate the model using frequency domain data. For

nonlinear models, the System Identification Toolbox™ product supports

only time-domain data.

The following figure shows a sample Residual Analysis plot,

created in the System Identification app.

Displaying the Confidence Interval

The confidence interval corresponds to

the range of residual values with a specific probability of being

statistically insignificant for the system. The toolbox uses the estimated

uncertainty in the model parameters to calculate confidence intervals

and assumes the estimates have a Gaussian distribution.

For example, for a 95% confidence interval, the region around

zero represents the range of residual values that have a 95% probability

of being statistically insignificant. You can specify the confidence

interval as a probability (between 0 and 1) or as the number of standard

deviations of a Gaussian distribution. For example, a probability

of 0.99 (99%) corresponds to 2.58 standard deviations.

You can display a confidence interval on the plot in the app

to gain insight into the quality of the model. To learn how to show

or hide confidence interval, see the description of the plot settings

in How to Plot Residuals in the App.

Note

If you are working in the System Identification app, you can

specify a custom confidence interval. If you are using the resid command, the confidence interval

is fixed at 99%.

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