fixConstants: Fix TSmodel Coefficients (Parameters) to Constants

In dse: Dynamic Systems Estimation (Time Series Package)

Description

Fix specified coefficients to constant values or any coefficients within fuzz of 0.0 or 1.0 to exactly 0.0 or 1.0. This will not change the model much but will affect some estimation techniques and information criteria results, as these are considered to be constants rather than coefficients.

Usage

    fixConstants(model, fuzz=1e-5, constants=NULL)

Arguments

model	an object of class TSmodel.
fuzz	absolute difference to be considered equivalent.
constants	NULL or a list of logical arrays.

Details

If constants is not NULL then parameters within fuzz of 0.0 or 1.0 are set as constants 0.0 or 1.0. If constants is not NULL then it should be a list with logical arrays named F, G ..., with TRUE corresponding to any array elements which are to be treated as constant.

Value

An object of class 'SS' 'TSmodel' with some array entries set to constants 0.0 or 1.0.

See Also

fixF

Examples

    f <- array(c(.5,.3,.2,.4),c(2,2))
    h <- array(c(1,0,0,1),c(2,2))
    k <- array(c(.5,.3,.2,.4),c(2,2))
    ss <- SS(F=f,G=NULL,H=h,K=k)
    ss
    coef(ss)
    ss <- fixConstants(ss, constants=list(
              F = matrix(c(TRUE, FALSE, FALSE, FALSE), 2,2)))
    ss
    coef(ss)
    data("eg1.DSE.data.diff", package="dse")
    model <- toARMA(toSS(estVARXls(eg1.DSE.data.diff)))
    model <- fixConstants(model)

dse documentation built on March 26, 2020, 7:12 p.m.