Embedding a Time Series

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Description

Embeds the time series x into a low-dimensional Euclidean space.

Usage

1
embed (x, dimension = 1)

Arguments

x

a numeric vector, matrix, or time series.

dimension

a scalar representing the embedding dimension.

Details

Each row of the resulting matrix consists of sequences x[t], x[t-1], ..., x[t-dimension+1], where t is the original index of x. If x is a matrix, i.e., x contains more than one variable, then x[t] consists of the tth observation on each variable.

Value

A matrix containing the embedded time series x.

Author(s)

A. Trapletti, B.D. Ripley

Examples

1
2
x <- 1:10
embed (x, 3)

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