sigex.i2rag: Reads in a multivariate time series and generates a list of...

In jlivsey/sigex: Ecce Signum: Multivariate Signal Extraction

Reads in a multivariate time series and generates a list of missing value indices

Description

Reads in a multivariate time series and generates a list of missing value indices

Usage

sigex.i2rag(z)

Arguments

z	raw data as N x T matrix with missing values at various time points. Missing values are at any 1 <= t <= T, and occur for some of the N series (the ragged case), and are denoted with a 1i. That is, Im(z[,t]) = rep(1i,N) or subset thereof encodes missing values.

Value

list containing leads.rag and ragged leads.rag: an integer sequence of indices that have at least one missing value These integers are a subset of 1,2,...,T. ragged: a list with number of items equal to length of leads.rag within the sample 1,2,...,T. (ragged=NULL if there are none.) Each element contains indices of vector components that are missing. Note: ragged[[j]] must be non-empty, where leads[j] is the time where at least one missing value (in-sample) occurs.

jlivsey/sigex documentation built on March 20, 2024, 3:17 a.m.