toSSinnov: Convert to State Space Innovations Model

In dse: Dynamic Systems Estimation (Time Series Package)

Description

Convert to a state space innovations representation.

Usage

    toSSinnov(model, ...)

Arguments

model	an object of class TSmodel.
...	arguments passed to other methods.

Value

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.

See Also

toSS, toSSOform toSSChol

Examples

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)

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