to.SS
Convert to state space form
Description
Convert an ARMA model to state space form.
Usage
Required Arguments
- model
-
An object of class TSmodel.
Optional Arguments
- n
-
If n is specified then it is used as the state dimension when the
markov parameter conversion technique is required.
Value
A state space model in an object of class 'SS' 'TSmodel'.
Details
If the order of the AR polynomial equals or exceeds the MA
polynomial (and the input polynomial) then the model is converted
by state augmentation. Otherwise, it is converted by approximating
the markov coefficients a la Mittnik. (This may not always work
very well. Compare the results to check.)
Examples
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