Convert to State Space Model
Convert a model to state space form.
toSS(model, ...)
## S3 method for class 'ARMA'
toSS(model, ...)
## S3 method for class 'SS'
toSS(model, ...)
## S3 method for class 'TSestModel'
toSS(model, ...)
toSSaugment(model, ...)
## S3 method for class 'ARMA'
toSSaugment(model, fuzz=1e-14, ...)
## S3 method for class 'TSestModel'
toSSaugment(model, ...)
toSSnested(model, ...)
## S3 method for class 'ARMA'
toSSnested(model, n=NULL, Aoki=FALSE, ...)
## S3 method for class 'SS'
toSSnested(model, n=NULL, Aoki=FALSE, ...)
## S3 method for class 'TSestModel'
toSSnested(model, ...)model |
An object of class TSmodel. |
n |
If n is specified then it is used as the state dimension when the markov parameter conversion technique is required. |
Aoki |
logical indicating if Aoki's method (which does not work in general) should be tried. |
fuzz |
if the zero lag term of polynomials A and B are within fuzz of the identitity matrix then they are not inverted. (i.e. they are assumed to be identity.) |
... |
arguments to be passed to other methods. |
If the order of the AR polynomial equals or exceeds the MA polynomial (and the input polynomial) then the model is converted by state augmentation. Otherwise, it is converted by approximating the markov coefficients a la Mittnik. (This may not always work very well. Compare the results to check.)
A state space model in an object of class 'SS' 'TSmodel'.
data("eg1.DSE.data.diff", package="dse")
model <- estVARXls(eg1.DSE.data.diff)
model <- toSS(model)Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.