to.ARMA {dse1} | R Documentation |
Convert a state space model to an ARMA representation. The state is eliminated by a method which uses an equivalence that can be demonstrated by the Cayley Hamilton theorem.
to.ARMA(model, ...) to.ARMA(model) to.ARMA(model, fuzz=1e-10) to.ARMA(model, ...)
model |
An object of class TSmodel. |
fuzz |
Parameters closer than fuzz to one or zero are set to 1.0 or 0.0 respectively |
An object of class 'ARMA' 'TSmodel' containing an ARMA model.
See for example Aoki(1989)
if(is.R()) data("eg1.DSE.data.diff", package="dse1") model <- to.SS(est.VARX.ls(eg1.DSE.data.diff)) model <- to.ARMA(model)