dvec {GammaTest}R Documentation

Creating delay vectors from time series

Description

Converts a time series dataset into an input/output format, where the output is in the last column. This is required to run a gamma test analysis on time series.

Usage

dvec(time.series, lag)

Arguments

time.series Array, matrix or ts data to be converted.
lag The maximum lag with which to create the inputs e.g. if lag=2 then the inputs will be lags 1 and 2.

Value

io The input/output dataset.

Author(s)

Samuel E. Kemp. To report any bugs or suggestions please email: sekemp@glam.ac.uk

References

For papers and Gamma test related material visit http://users.cs.cf.ac.uk:81/Antonia.J.Jones/GammaArchive/IndexPage.htm

See Also

gammatest fesearch

Examples

ts.sim  <- arima.sim(500, model=list(ar=0.9), sd=sqrt(1))
dvar <- dvec(ts.sim, 1)

[Package GammaTest version 2.1 Index]