balance.Mittnik {dse1}R Documentation

Balance a state space model

Description

Balance a state space model a la Mittnik.

Usage

    balance.Mittnik(model, n=NULL)

Arguments

model An TSmodel object.
n n is intended primarily for producing a state space model from the markov parameters of an ARMA model, but if it is supplied with an SS model the result will be a model with state dimension n based on the n largest singular values of the svd of a Hankel matrix of markov parameters generated by the original model. If n is not supplied then the singular values are printed and the program prompts for n.

Details

See references.

Value

A state space model balance a la Mittnik in a TSestModel object.

References

P.D.Gilbert (1993) State Space and ARMA models: An overview of estimation and reduction. (Other reference cited therein.)

Gilbert, P.D. (1995) "Combining VAR Estimation and State Space Model Reduction for Simple Good Predictions" J. of Forecasting: Special Issue on VAR Modelling. 14:229-250.

S.Mittnik (1989), Multivariate Time Series Analysis With State Space Models, Computers Math Appl. Vol 17, No 8/9, pp1189-1201.

S.Mittnik (1990), Macroeconomic Forecasting Experience With Balance State Space Models, International Journal Of Forecasting, Vol 6, pp337-348.

S.Mittnik (1990), Forecasting With Balanced State Space Representations of Multivariate Distributed Lag Models. J. of Forecasting, Vol.9, 207-218.

See Also

est.VARX.ls, est.VARX.ar

Examples

    if(is.R()) data("eg1.DSE.data.diff", package="dse1")
    model <- to.SS(TSmodel(est.VARX.ls(eg1.DSE.data.diff)))
    newmodel <-balance.Mittnik(model)
    # this prints information about singular values and prompts with
    #Enter the number of singular values to use for balanced model:
    # 18 might be a good choice in this example. 
    newmodel <-balance.Mittnik(model, n=18)