Fmincon significance; which statistics to use?

2 views (last 30 days)
I've used the fmincon function to optimize a utility function in a portfolio selection problem. Now that I have the parameters and the standard errors, I would like to draw conclusions about the significance of the model as a whole and its parameters individually. To make a comparison with a OLS regression: like an F-test to see if the regression coefficients are jointly significant and a T-test to see if the coefficients are individually significant.
Can I just divide the optimized coefficients by the calculated standard errors (like a T-test) or do I need to do something else, and how do check for joint significance?
Kind regards,
Martin

Answers (0)

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!