toSSinnov {dse1}R Documentation

Convert to State Space Innovations Model

Description

Convert to a state space innovations representation.

Usage

    toSSinnov(model, ...)

Arguments

model an object of class TSmodel.
... arguments passed to other methods.

Value

If the argument is a TSmodel then the result is an object of class 'SS' 'TSmodel' If the argument is a TSestModel then the converted model is evaluated with the data an a TSestModel is returned. The TSmodel is an innovations state space representation.

See Also

toSS, toSSOform toSSChol

Examples

if(is.R()) data("eg1.DSE.data.diff", package="dse1")
model <- estVARXls(eg1.DSE.data.diff)
model <- toSSinnov(model)
summary(model)

model2 <- SS(F=diag(1,3), H=matrix(c(1,0,0,1,0,0),2,3),
   Q=diag(0.5, 3, 3), R=diag(1.1, 2,2),
    description="test model", output.names=c("output 1", "output 2"))
model2 <- toSSinnov(model2)
summary(model2)

[Package Contents]