embed                   package:ts                   R Documentation

Embedding a Time Series

Description:

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

Usage:

     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 `t'th observation on each
     variable.

Value:

     A matrix containing the embedded time series `x'.

Author(s):

     A. Trapletti, B.D. Ripley

Examples:

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

