dse: toSSOform – R documentation

Pricing

Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!

Get Started for Free

Documentation

dse

toSSOform

Convert to Oform

Description

Convert a state space model to (observability?) form.

Usage

toSSOform(model)
    ## S3 method for class 'TSmodel'
toSSOform(model)
    ## S3 method for class 'TSestModel'
toSSOform(model)

Arguments

model

An object of class TSmodel.

Details

WARNING: This function does not work properly.

Convert to a SS innovations representation with a minimum number of parameters by converting as much of H as possible to I matrix. Any remaining reductions are done by converting part of ?? to I. It seems there should remain n(m+2p) free parameters in F,G,H,K, and Om is determined implicitly by the residual.

Value

An object of class 'SS' 'TSmodel' containing a state space model in observability form (more or less).

Examples

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