embedy: Embedding time-series

In proto4426/ValUSunSSN: Val-U-Sun project functions

Description

Embeds a set of time series c(x1, x2,..., xm) into an D-dimensional space by taking as state vectors the consecutive sequences: (written in Matlab's style) z(k,:) = [x1(k) x1(k+T) ... x1(k+D*T-1) x2(k) x2(k+T) ... xm(k+D*T-1)] for k=1 to n-D*T+1, where n is the length of x and T is the embedding delay

Usage

embedy(x, D, T = 1, displ = F)

Arguments

x	input numeric matrix where records are in columns; n rows and m columns
D	integer specifying the embedding dimension
T	positive integer specifying the embedding delay. Default to 1
displ	boolean controlling the display of the size of the embedded matrix

Value

y the embedded numeric matrix with n-D+1 rows and D*m columns

Examples

y <- sqrt(data.mat+1)  # data.mat contains the stations in columns and time in rows
yytest <- matrix(y[!is.na(y)][1:200], ncol = 8)
embedy(yytest, 3 )

proto4426/ValUSunSSN documentation built on May 26, 2019, 10:31 a.m.