estSSMittnik              package:dse1              R Documentation

_E_s_t_i_m_a_t_e _a _S_t_a_t_e _S_p_a_c_e _M_o_d_e_l

_D_e_s_c_r_i_p_t_i_o_n:

     Estimate a state space model using Mittnik's markov parameter
     estimation.

_U_s_a_g_e:

         estSSMittnik(data, max.lag=6, n=NULL, subtract.means=FALSE, normalize=FALSE)

_A_r_g_u_m_e_n_t_s:

    data: A TSdata object.

 max.lag: The number of markov parameters to estimate.

       n: The state dimension.

subtract.means: If TRUE subtract the means from the data before
          estimation.

normalize: If TRUE normalize the data before estimation.

_D_e_t_a_i_l_s:

     Estimate a nested-balanced state space model by svd from least
     squares estimate of markov parameters a la Mittnik p1195 Comp.Math
     Appl.v17,1989. The quality of the estimate seems to be quite
     sensitive to max.lag,  and this is not properly resolved yet. If n
     is not supplied the svd criteria will be printed and n prompted
     for. If subtract.means=T then the sample mean is subtracted.  If
     normalize is T the lsfit estimation is done with outputs normalize
     to cov=I (There still seems to be something wrong here!!). The
     model is then re-transformed to the original scale.

     See MittnikReduction and references cited there. If the state
     dimension is not specified then the singular values of the Hankel
     matrix are printed and the user is prompted for the state
     dimension.

_V_a_l_u_e:

     A state space model in an object of class TSestModel.

_R_e_f_e_r_e_n_c_e_s:

     See references for 'MittnikReduction'.

_S_e_e _A_l_s_o:

     'MittnikReduction' 'estVARXls' 'bft'

_E_x_a_m_p_l_e_s:

         if(is.R()) data("egJofF.1dec93.data", package="dse1")
         ## Not run: model <- estSSMittnik(egJofF.1dec93.data)
         # this prints information about singular values and prompts with
         #Enter the number of singular values to use for balanced model:
         # the choice is difficult in this example. 
         model <- estSSMittnik(egJofF.1dec93.data, n=3)

