balance.Mittnik
Balance a state space model
Description
Balance a state space model a la Mittnik.
Usage
balance.Mittnik(model, n=NULL)
Required Arguments
- model
-
An object of class TSmodel.
Optional Arguments
- n
-
n is intended primarily for producing a state space model from the markov
parameters of an ARMA model, but if it is supplied with an SS model the
result will be a model with state dimension n based on the n largest
singular values of the svd of a Hankel matrix of markov parameters generated
by the original model. If n is not supplied then the singular values are
printed and the program prompts for n.
Value
A state space model balance a la Mittnik 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
newmodel <-balance.Mittnik(model)
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