embedd: Embedding of a time series

Description Usage Arguments Details Value Author(s) Examples

View source: R/embedd.R

Description

Embedding of a time series with provided time delay and embedding dimension parameters.

Usage

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embedd(x, m, d, lags)

Arguments

x

time series

m

embedding dimension (if lags missed)

d

time delay (if lags missed)

lags

vector of lags (if m and d are missed)

Details

Embedding of a time series with provided delay and dimension parameters.

Value

Matrix with columns corresponding to lagged time series.

Author(s)

Antonio, Fabio Di Narzo. Multivariate time series patch by Jonathan Shore.

Examples

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library(scatterplot3d)
x <- window(rossler.ts, start=90)
xyz <- embedd(x, m=3, d=8)
scatterplot3d(xyz, type="l")

## embedding multivariate time series
series <- cbind(seq(1,50),seq(101,150))
head(embedd(series, m=6, d=1))

Example output

Loading required package: deSolve
     V1/0 V2/0 V1/1 V2/1 V1/2 V2/2 V1/3 V2/3 V1/4 V2/4 V1/5 V2/5
[1,]    1  101    2  102    3  103    4  104    5  105    6  106
[2,]    2  102    3  103    4  104    5  105    6  106    7  107
[3,]    3  103    4  104    5  105    6  106    7  107    8  108
[4,]    4  104    5  105    6  106    7  107    8  108    9  109
[5,]    5  105    6  106    7  107    8  108    9  109   10  110
[6,]    6  106    7  107    8  108    9  109   10  110   11  111

tseriesChaos documentation built on May 29, 2017, 9:51 a.m.