to.ARMA {dse1}R Documentation

Convert to an ARMA Model

Description

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.

Usage

    to.ARMA(model, ...)
    to.ARMA(model)
    to.ARMA(model, fuzz=1e-10)
    to.ARMA(model, ...)

Arguments

model An object of class TSmodel.
fuzz Parameters closer than fuzz to one or zero are set to 1.0 or 0.0 respectively

Value

An object of class 'ARMA' 'TSmodel' containing an ARMA model.

References

See for example Aoki(1989)

See Also

to.SS fix.constants

Examples

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