toSSChol {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.
toSSChol(model, ...) toSSChol(model, Om=diag(1,nseriesOutput(model)), ...) toSSChol(model, Om=NULL, ...)
model |
An object of class TSmodel. |
Om |
a matrix to be used as the measurement noise covariance. If Om is
not supplied and model is of class TSestModel then
model$estimates$cov is used. Otherwise, Om is set to the
identity matrix. |
... |
arguments to be passed to other methods. |
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 <- estVARXls(eg1.DSE.data.diff) model <- toSSChol(model)