makeLagMatrix
makeLagMatrix
makeLagMatrix
Create lag matrix from input data.
lagMatrix = makeLagMatrix(Y, p)
returns a matrix where columns contain 1 to p
lags of Y
.
Arguments
Y
(matrix): Input data matrix (T x k).p
(integer): Number of lags.
Returns
lagMatrix
(matrix): Matrix of lagged values. Firstk
columns are lag 1, nextk
are lag 2, and so on.
Notes
- Missing values due to lagging are filled with NaN.