as.ssm: Structural form for an ARIMA model

In tfarima: Transfer Function and ARIMA Models

Structural form for an ARIMA model

Description

as.ssm finds the structural form for an ARIMA model from its the eventual forecast function.

Usage

## S3 method for class 'ucarima'
as.ssm(object, ...)

as.ssm(object, ...)

## S3 method for class 'um'
as.ssm(
  object,
  z = NULL,
  msoe = TRUE,
  H = NULL,
  cform = TRUE,
  tol = 1.490116e-08,
  nonadm = c("quadprog", "nnls", "none"),
  envir = NULL,
  ...
)

Arguments

object	an object of class um.
...	other arguments.
z	an optional time series.
msoe	logical, TRUE for multiple source of errors and FALSE for single source of error.
H	an optional matrix to reduce the number of variances.
cform	logical. TRUE for contemporaneous form and FALSE for future form.
tol	tolerance to check if the elements of b and C are zero.
nonadm	character, the method to overcome nonadmissibility: non-linear least squares, quadratic programming or none.
envir	environment, see "um".

Value

An object of class ssm

Examples

airl <- um(i = list(1, c(1, 12)), ma = "(1 - 0.8B)(1 - 0.8B12)")
ssm1 <- as.ssm(airl, index = c(1, 0, rep(2, 11)))
ssm1

tfarima documentation built on Nov. 5, 2025, 7:43 p.m.