to.SS.Chol {dse1}R Documentation

Convert to Non-Innovation State Space Model

Description

Convert to a non-innovations state space representation using the given matrix as the measurement noise covariance. This function may not be working properly.

Usage

    to.SS.Chol(model, ...)
    to.SS.Chol(model, Om=diag(1,output.dimension(model)))
    to.SS.Chol(model, Om=NULL)

Arguments

model An object of class TSmodel.

Details

Convert to a non-innovations SS representation using a Cholesky decomposition of Om as the coefficient matrix of the output noise.

Value

An object of class 'SS' 'TSmodel' containing a state space model which is not in innovations form.

See Also

to.SS.innov

Examples

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