Convert to State Space Innovations Model
Convert to a state space innovations representation.
toSSinnov(model, ...)
model |
an object of class TSmodel. |
... |
arguments passed to other methods. |
If the argument is a TSmodel then the result is an object of class 'SS' 'TSmodel' If the argument is a TSestModel then the converted model is evaluated with the data an a TSestModel is returned. The TSmodel is an innovations state space representation.
This assumes that the noise processes in the arbitrary SS representation are white and uncorrelated.
data("eg1.DSE.data.diff", package="dse")
model <- estVARXls(eg1.DSE.data.diff)
model <- toSSinnov(model)
summary(model)
model2 <- SS(F=diag(1,3), H=matrix(c(1,0,0,1,0,0),2,3),
Q=diag(0.5, 3, 3), R=diag(1.1, 2,2),
description="test model", output.names=c("output 1", "output 2"))
model2 <- toSSinnov(model2)
summary(model2)Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.