to.SS.Chol {dse1} | R Documentation |
Convert to a non-innovations state space representation using the given matrix as the measurement noise covariance. This function may not be working properly.
to.SS.Chol(model, ...) to.SS.Chol(model, Om=diag(1,output.dimension(model))) to.SS.Chol(model, Om=NULL)
model |
An object of class TSmodel. |
Convert to a non-innovations SS representation using a Cholesky decomposition of Om as the coefficient matrix of the output noise.
An object of class 'SS' 'TSmodel' containing a state space model which is not in innovations form.
if(is.R()) data("eg1.DSE.data.diff", package="dse1") model <- est.VARX.ls(eg1.DSE.data.diff) model <- to.SS.Chol(model)