dse (version 2020.2-1)

toSSinnov: 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.

This assumes that the noise processes in the arbitrary SS representation are white and uncorrelated.

See Also

toSS, toSSOform toSSChol

Examples

# NOT RUN {
data("eg1.DSE.data.diff", package="dse")
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)
# }