embed_timeseries {tsensembler} | R Documentation |
This function embeds a time series into an Euclidean space.
This implementation is based on the function embed
of
stats package and has theoretical backgroung on
reconstruction of attractors (see Takens, 1981).
This shape transformation of the series allows for
the use of any regression tool available to learn
the time series. The assumption is that there are no long-term
dependencies in the data.
embed_timeseries(timeseries, embedding.dimension)
timeseries |
a time series of class \"xts\". |
embedding.dimension |
an integer specifying the embedding dimension. |
An embedded time series
embed
for the details of the embedding procedure.
## Not run:
require(xts)
ts <- as.xts(rnorm(100L), order.by = Sys.Date() + rnorm(100L))
embedded.ts <- embed.timeseries(ts, 20L)
## End(Not run)