https://github.com/cran/dse
Tip revision: 4c2b9d7efd8664020eb998646b980f7d761c7c44 authored by Paul Gilbert on 12 April 2012, 00:00:00 UTC
version 2012.4-1
version 2012.4-1
Tip revision: 4c2b9d7
toSS.Rd
\name{toSS}
\alias{toSS}
\alias{toSS.ARMA}
\alias{toSS.SS}
\alias{toSS.TSestModel}
\alias{toSSaugment}
\alias{toSSaugment.ARMA}
\alias{toSSaugment.TSestModel}
\alias{toSSnested}
\alias{toSSnested.SS}
\alias{toSSnested.ARMA}
\alias{toSSnested.TSestModel}
\title{Convert to State Space Model}
\description{
Convert a model to state space form.
}
\usage{
toSS(model, ...)
\method{toSS}{ARMA}(model, ...)
\method{toSS}{SS}(model, ...)
\method{toSS}{TSestModel}(model, ...)
toSSaugment(model, ...)
\method{toSSaugment}{ARMA}(model, fuzz=1e-14, ...)
\method{toSSaugment}{TSestModel}(model, ...)
toSSnested(model, ...)
\method{toSSnested}{ARMA}(model, n=NULL, Aoki=FALSE, ...)
\method{toSSnested}{SS}(model, n=NULL, Aoki=FALSE, ...)
\method{toSSnested}{TSestModel}(model, ...)
}
\arguments{
\item{model}{An object of class TSmodel.}
\item{n}{If n is specified then it is used as the state dimension when the
markov parameter conversion technique is required.}
\item{Aoki}{logical indicating if Aoki's method (which does not work in
general) should be tried.}
\item{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.)}
\item{...}{arguments to be passed to other methods.}
}
\value{
A state space model in an object of class 'SS' 'TSmodel'.
}
\details{
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.)
}
\examples{
data("eg1.DSE.data.diff", package="dse")
model <- estVARXls(eg1.DSE.data.diff)
model <- toSS(model)
}
\concept{DSE}
\keyword{ts}