dse: MittnikReducedModels – R documentation

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dse

MittnikReducedModels

Reduced Models via Mittnik SVD balancing

Description

Reduced Models via Mittnik SVD balancing.

Usage

MittnikReducedModels(largeModel)

Arguments

largeModel

An SS TSmodel.

Details

The largeModel is balanced by the SVD method promoted by Mittnik (see MittnikReduction) and then models for every state dimension up to the state dimension of the largeModel are return. Note that this procedure does not result in smaller models which are balanced.

Value

A list of state space TSmodels with smaller state dimensions.

Examples

data("eg1.DSE.data.diff", package="dse")
    z <-  MittnikReducedModels(toSS(estVARXls(eg1.DSE.data.diff)))

dse

Dynamic Systems Estimation (Time Series Package)

v2020.2-1

GPL-2

Authors

Paul Gilbert <pgilbert.ttv9z@ncf.ca>

Initial release