HistorySpace: History of Slopes

In CHFF: Closest History Flow Field Forecasting for Bivariate Time Series

Description

Extracts the history space for a given time series

Usage

historyslopes(x,y,step,ave)

Arguments

x	x values for the time series
y	y values for the time series
step	The lags in past slopes used in the given history
ave	Then number of time step the slope are averaged over. We recomend 1 or step which is the lags in the slopes.

Value

Returns the history space in matrix form 16X(datalength-7*step), with the most recent history at the bottom.

Author(s)

Patrick Fleming

References

Caudle, KA, Fleming, PS, Frey, MR and Brubaker, N. "Next Generation of Flow Field Forecasting", Proceedings of the Joint Statistical Meetings of the American Statistical Association, Seattle, WA., 8 August-13 August (2015).

Frey, Michael R., and Kyle A. Caudle. "Flow field forecasting for univariate time series." Statistical Analysis and Data Mining (2013).

Examples

data(tsdata) # Load time series data int R
CHFF(tsdata,10,3)

CHFF documentation built on May 2, 2019, 5:16 a.m.