toSSinnov                package:dse1                R Documentation

_C_o_n_v_e_r_t _t_o _S_t_a_t_e _S_p_a_c_e _I_n_n_o_v_a_t_i_o_n_s _M_o_d_e_l

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

     Convert to a state space innovations representation.

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

         toSSinnov(model, ...)

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

   model: an object of class TSmodel.

     ...: arguments passed to other methods.

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

     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.

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

     'toSS', 'toSSOform' 'toSSChol'

_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 <- 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)

