embedd function

Embedding of a time series

Embedding of a time series with provided time delay and embedding dimension parameters.

embedd(x, m, d, lags)

Arguments

• x: time series
• m: embedding dimension (if lags missed)
• d: time delay (if lags missed)
• lags: vector of lags (if m and d are missed)

Details

Embedding of a time series with provided delay and dimension parameters.

Returns

Matrix with columns corresponding to lagged time series.

Examples

library(scatterplot3d)
x <- window(rossler.ts, start=90)
xyz <- embedd(x, m=3, d=8)
scatterplot3d(xyz, type="l")

## embedding multivariate time series
series <- cbind(seq(1,50),seq(101,150))
head(embedd(series, m=6, d=1))

Author(s)

Antonio, Fabio Di Narzo. Multivariate time series patch by Jonathan Shore.