est.SS.Mittnik
Estimate a state space model
Description
Estimate a state space model using Mittnik's markov parameter estimation.
Usage
est.SS.Mittnik(data, max.lag=6, n=NULL, subtract.means=F, normalize=F)
Required Arguments
- data
-
An object with the structure of an object of class TSdata (see TSdata).
Optional Arguments
- max.lag
-
The number of markov parameters to estimate.
- subtract.means
-
If T subtract the means from the data before estimation.
- normalize
-
If T normalize the data before estimation.
Value
A state space model in an object of class TSestModel.
Details
REFERENCES
P.D.Gilbert (1992) State Space and ARMA models: An overview of
estimation and reduction.
(Other reference cited therein)
See Also
Examples
model <- est.SS.Mittnik(data)
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