embed_timeseries: Embedding a Time Series

In tsensembler: Dynamic Ensembles for Time Series Forecasting

Description

This function embeds a time series into an Euclidean space. This implementation is based on the function embed of stats package and has theoretical backgroung on reconstruction of attractors (see Takens, 1981). This shape transformation of the series allows for the use of any regression tool available to learn the time series. The assumption is that there are no long-term dependencies in the data.

Usage

embed_timeseries(timeseries, embedding.dimension)

Arguments

timeseries	a time series of class \"xts\".
embedding.dimension	an integer specifying the embedding dimension.

Value

An embedded time series

See Also

embed for the details of the embedding procedure.

Examples

## Not run: 
require(xts)
ts <- as.xts(rnorm(100L), order.by = Sys.Date() + rnorm(100L))
embedded.ts <- embed.timeseries(ts, 20L)

## End(Not run)

tsensembler documentation built on Oct. 27, 2020, 5:07 p.m.