Improved embed() function

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Description

Improved version of the embed function in the stats package. First it allows embeddings in past and future observation space (backward and forward shift). Secondly, it adds 'NA' to the beginning (or end) of the embedding matrix, depending on the dimension of the embedding. Optionally, they can be removed.

Usage

1
embed2(x, max.lag = 1, na.omit = FALSE)

Arguments

x

a numeric vector, matrix, or time series.

max.lag

a scalar representing the embedding dimension in past or future. Note that contrary to 'dimension = 1' in embed, here 'max.lag = 1' will return a 2 column matrix (0 lag, 1 lag), and not just a 1 column matrix. Similarly, for negative shift; e.g., 'max.lag = -2' returns 3 column matrix with (0 lag, -1 lag, -2 lag).

na.omit

logical; if TRUE, it removes NA values automatically from embedded matrix.

See Also

embed

Examples

1
2
data(nottem)
aa <- embed2(nottem, 12)

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