dse: toARMA – R documentation

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toARMA

Convert to an ARMA Model

Description

Convert a state space model to an ARMA representation. The state is eliminated by a method which uses an equivalence that can be demonstrated by the Cayley Hamilton theorem. It is not very parsimonious.

Usage

toARMA(model, ...)
    ## S3 method for class 'ARMA'
toARMA(model, ...)
    ## S3 method for class 'SS'
toARMA(model, fuzz=1e-10, ...)
    ## S3 method for class 'TSestModel'
toARMA(model, ...)

Arguments

`model`	An object of class TSmodel.
`fuzz`	Parameters closer than fuzz to one or zero are set to 1.0 or 0.0 respectively
`...`	arguments to be passed to other methods.

Value

An object of class 'ARMA' 'TSmodel' containing an ARMA model.

References

See, for example, Aoki, M. (1990) State Space Modelling of Time Series. 2d ed. rev. and enl., Springer-Verlag.

Aoki, M. and Havenner, A. (1991) State Space Modeling of Multiple Time Series. Econometric Reviews, 10, 1–59.

Examples

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

dse

Dynamic Systems Estimation (Time Series Package)

v2020.2-1

GPL-2

Authors

Paul Gilbert <pgilbert.ttv9z@ncf.ca>

Initial release