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)

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