to.SS {dse1}R Documentation

Convert to State Space Model

Description

Convert a model to state space form.

Usage

    to.SS(model, ...)
    to.SS(model, n=NULL)
    to.SS(model, ...)
    to.SS(model)
    to.SS(model, ...)
    
    to.SS.augment(model, ...)
    to.SS.augment(model, fuzz=1e-14)
    to.SS.augment(model, ...)
    
    to.SS.nested(model, ...)
    to.SS.nested(model, n=NULL, Aoki=F)
    to.SS.nested(model, n=NULL, Aoki=F)
    to.SS.nested(model, ...)
    
    

Arguments

model An object of class TSmodel.
n If n is specified then it is used as the state dimension when the markov parameter conversion technique is required.

Details

If the order of the AR polynomial equals or exceeds the MA polynomial (and the input polynomial) then the model is converted by state augmentation. Otherwise, it is converted by approximating the markov coefficients a la Mittnik. (This may not always work very well. Compare the results to check.)

Value

A state space model in an object of class 'SS' 'TSmodel'.

Examples

if(is.R()) data("eg1.DSE.data.diff", package="dse1")
model <- est.VARX.ls(eg1.DSE.data.diff)
model <- to.SS(model)