toSSChol                package:dse1                R Documentation

_C_o_n_v_e_r_t _t_o _N_o_n-_I_n_n_o_v_a_t_i_o_n _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:

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

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

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

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

   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.

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

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

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

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

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

     'toSSinnov'

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

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

