toARMA {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

        toARMA(model, ...)
        ## S3 method for class 'ARMA':
        toARMA(model, ...)
        ## S3 method for class 'SS':
        toARMA(model, fuzz=1e-10, ...)
        ## S3 method for class 'TSestModel':
        toARMA(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
`...` | arguments to be passed to other methods.

### Value

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

### References

See, for example, M. Aoki(1990)State Space Modelling of Time Series. 2d ed. rev. and enl., Springer-Verlag

### See Also

`toSS` `fixConstants`

### Examples

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

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