est.SS.Mittnik {dse2}R Documentation

Estimate a State Space Model

Description

Estimate a state space model using Mittnik's markov parameter estimation.

Usage

    est.SS.Mittnik(data, max.lag=6, n=NULL, subtract.means=F, normalize=F)

Arguments

data A TSdata object.
max.lag The number of markov parameters to estimate.
n The state dimension.
subtract.means If T subtract the means from the data before estimation.
normalize If T normalize the data before estimation.

Details

See reduction.Mittnik and references cited there. If the state dimension is not specified then the singular values of the Hankel matrix are printed and the user is prompted for the state dimension.

Value

A state space model in an object of class TSestModel.

References

See references for reduction.Mittnik.

See Also

reduction.Mittnik est.VARX.ls bft

Examples

    if(is.R()) data("egJofF.1dec93.data", package="dse1")
    model <- est.SS.Mittnik(egJofF.1dec93.data)
    # this prints information about singular values and prompts with
    #Enter the number of singular values to use for balanced model:
    # the choice is difficult in this example. 
    model <- est.SS.Mittnik(egJofF.1dec93.data, n=3)