toSSOform: Convert to Oform

In dse: Dynamic Systems Estimation (Time Series Package)

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).

See Also

toSSinnov

Examples

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

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