Embedding of a time series

Description

Embedding of a time series with provided time delay and embedding dimension parameters.

Usage

embedd(x, m, d, lags)

Arguments

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

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))

Results