toARMA: Convert to an ARMA Model

Description Usage Arguments Value References See Also Examples

View source: R/dse1.R

Description

Convert a state space model to an ARMA representation. The state is eliminated by a method which uses an equivalence that can be demonstrated by the Cayley Hamilton theorem. It is not very parsimonious.

Usage

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    toARMA(model, ...)
    ## S3 method for class 'ARMA'
toARMA(model, ...)
    ## S3 method for class 'SS'
toARMA(model, fuzz=1e-10, ...)
    ## S3 method for class 'TSestModel'
toARMA(model, ...)

Arguments

model

An object of class TSmodel.

fuzz

Parameters closer than fuzz to one or zero are set to 1.0 or 0.0 respectively

...

arguments to be passed to other methods.

Value

An object of class 'ARMA' 'TSmodel' containing an ARMA model.

References

See, for example, Aoki, M. (1990) State Space Modelling of Time Series. 2d ed. rev. and enl., Springer-Verlag.

Aoki, M. and Havenner, A. (1991) State Space Modeling of Multiple Time Series. Econometric Reviews, 10, 1–59.

See Also

toSS fixConstants

Examples

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

Example output

Loading required package: tfplot
Loading required package: tframe

Attaching package: 'dse'

The following objects are masked from 'package:stats':

    acf, simulate

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