MakeEmbedded | R Documentation |
Embed a multivariate time series in input output form
MakeEmbedded(ts, n, delay, hor = 1, w = 1)
n |
[no.var]: vector of embedding orders |
delay |
[no.var]: vector of delays |
hor |
[length(w)]: vector of predicted horizons (hor=1 boils down to one-step-ahed prediction) |
ts: |
multivariate time series [no. observations,no. variates] |
w: |
index of variables appearing in $out |
list with
inp: embedded inputs of all variables (n[i] columns for series ts[i])
out: outputs of variates whose index is in w
Gianluca Bontempi gbonte@ulb.ac.be
TS<-array(1:25,c(5,5))
## embeds a 5 variate time series with embedding orders equal to 2 for all variables for one-step ahead prediction
MakeEmbedded(TS,n=rep(2,5),delay=rep(0,5),hor=rep(1,5),w=1:5)
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