multilagmatrix: multilagmatrix

In AnomalyScore: Anomaly Scoring for Multivariate Time Series

multilagmatrix

Description

multilagmatrix builds the set of explanatory variables for the dynamic regression model.

Usage

multilagmatrix(xM, responseindex, ordersV, indexV)

Arguments

xM	the matrix of K time series (variables in columns)
responseindex	the index of the response variable in \{1,\ldots,K\}
ordersV	vector of size 1xK of the maximum order for each of the K variables.
indexV	the vector of size 1 x Kpmax of zeros and ones e.g. if the component in position 2pmax+3 is one, the third variable, lag 3, X3(t-3), is selected.

Value

the matrix of all explanatory lagged variables in the DR model. The sequence of the lagged variables in 'lagM'

See Also

Kugiumtzis, D. "Direct-Coupling Information Measure from Nonuniform Embedding." Physical Review E 87, no. 6 (June 25, 2013): 062918. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1103/PhysRevE.87.062918")}

AnomalyScore documentation built on April 4, 2025, 3:13 a.m.