Embedding of a time series

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))