multilagmatrix {AnomalyScore} | R Documentation |
multilagmatrix
Description
multilagmatrix builds the set of explanatory variables for the dynamic regression model.
Usage
multilagmatrix(xM, responseindex, ordersV, indexV)
Arguments
xM |
the matrix of K time series (variables in columns) |
responseindex |
the index of the response variable in |
ordersV |
vector of size 1xK of the maximum order for each of the K variables. |
indexV |
the vector of size 1 x Kpmax of zeros and ones e.g. if the component in position 2pmax+3 is one, the third variable, lag 3, X3(t-3), is selected. |
Value
the matrix of all explanatory lagged variables in the DR model. The sequence of the lagged variables in 'lagM'
See Also
Kugiumtzis, D. "Direct-Coupling Information Measure from Nonuniform Embedding." Physical Review E 87, no. 6 (June 25, 2013): 062918. doi:10.1103/PhysRevE.87.062918
[Package AnomalyScore version 0.1 Index]