toARMA                 package:dse1                 R Documentation

_C_o_n_v_e_r_t _t_o _a_n _A_R_M_A _M_o_d_e_l

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

     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.

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

         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, ...)

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

   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.

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

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

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

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

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

     'toSS' 'fixConstants'

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

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

