feat-lagdata {stochmod}R Documentation

Data Lagging

Description

Time-lagged embedding of a time series

Usage

FEAT.lagData( x, k=1 )

Arguments

x Either a matrix or a list of matrices containing observation sequences, with one sample per row
k Number of lags

Details

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.

Value

[n-k by k*p] matrix of lagged time series

Author(s)

Artem Sokolov (Artem.Sokolov@gmail.com)


[Package stochmod version 1.2 Index]