toSSChol {dse1} | R Documentation

## Convert to Non-Innovation State Space Model

### Description

Convert to a non-innovations state space representation using the given matrix as the measurement noise covariance. This function may not be working properly.

### Usage

        toSSChol(model, ...)
        ## S3 method for class 'TSmodel':
        toSSChol(model, Om=diag(1,nseriesOutput(model)), ...)
        ## S3 method for class 'TSestModel':
        toSSChol(model, Om=NULL, ...)

### Arguments

`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.

### Details

Convert to a non-innovations SS representation using a Cholesky decomposition of Om as the coefficient matrix of the output noise.

### Value

An object of class 'SS' 'TSmodel' containing a state space model which is not in innovations form.

### See Also

`toSSinnov`

### Examples

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

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