to.SS.Chol
Convert to non-innovation state space TSmodel
Description
Convert to a non-innovations state space representation using
the given matrix as the measurement noise covariance.
This function may not be working properly.
Usage
to.SS.Chol(model, Om=NULL)
Required Arguments
- model
-
An object of class TSmodel.
Optional Arguments
- 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.
Value
An object of class 'SS' 'TSmodel' containing a state space model which is
not in innovations form.
Details
Convert to a non-innovations SS representation using a Cholesky
decomposition of Om as the coefficient matrix of the output noise.
See Also
Examples
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