feat-lagdata {stochmod} | R Documentation |
Time-lagged embedding of a time series
FEAT.lagData( x, k=1 )
x |
Either a matrix or a list of matrices containing observation sequences, with one sample per row |
k |
Number of lags |
Time-delayed or time-lagged embedding appends a time-series to a lagged version of itself, thereby increasing dimensionality from p to k*p and reducing the number of samples from n to n-k.
[n-k by k*p] matrix of lagged time series
Artem Sokolov (Artem.Sokolov@gmail.com)