toARMA {dse} | R Documentation |
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. It is not very parsimonious.
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, ...)
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. |
An object of class 'ARMA' 'TSmodel' containing an ARMA model.
See, for example, Aoki, M. (1990) State Space Modelling of Time Series. 2d ed. rev. and enl., Springer-Verlag.
Aoki, M. and Havenner, A. (1991) State Space Modeling of Multiple Time Series. Econometric Reviews, 10, 1–59.
data("eg1.DSE.data.diff", package="dse")
model <- toSS(estVARXls(eg1.DSE.data.diff))
model <- toARMA(model)