Crate timelag

timelag — creating time lagged data series

Functions for creating time-lagged versions of time series data.

Crate Features

• ndarray - Enables support for ndarray’s Array1 and Array2 traits.

Example

For singular time series:

let data = [1.0, 2.0, 3.0, 4.0];

// Using infinity for padding because NaN doesn't equal itself.
let lag = f64::INFINITY;
let padding = f64::INFINITY;

// Create three lagged versions.
// Use a stride of 5 for the rows, i.e. pad with one extra entry.
let lagged = lag_matrix(&data, 3, lag, 5).unwrap();

assert_eq!(
    lagged,
    &[
        1.0, 2.0, 3.0, 4.0, padding, // original data
        lag, 1.0, 2.0, 3.0, padding, // first lag
        lag, lag, 1.0, 2.0, padding, // second lag
        lag, lag, lag, 1.0, padding, // third lag
    ]
);

For matrices with time series along their rows:

let data = [
     1.0,  2.0,  3.0,  4.0,
    -1.0, -2.0, -3.0, -4.0
];

// Using infinity for padding because NaN doesn't equal itself.
let lag = f64::INFINITY;
let padding = f64::INFINITY;

let lagged = lag_matrix_2d(&data, MatrixLayout::RowMajor(4), 3, lag, 5).unwrap();

assert_eq!(
    lagged,
    &[
         1.0,  2.0,  3.0,  4.0, padding, // original data
        -1.0, -2.0, -3.0, -4.0, padding,
         lag,  1.0,  2.0,  3.0, padding, // first lag
         lag, -1.0, -2.0, -3.0, padding,
         lag,  lag,  1.0,  2.0, padding, // second lag
         lag,  lag, -1.0, -2.0, padding,
         lag,  lag,  lag,  1.0, padding, // third lag
         lag,  lag,  lag, -1.0, padding,
    ]
);

For matrices with time series along their columns:

let data = [
    1.0, -1.0,
    2.0, -2.0,
    3.0, -3.0,
    4.0, -4.0
];

// Using infinity for padding because NaN doesn't equal itself.
let lag = f64::INFINITY;
let padding = f64::INFINITY;

// Example row stride of nine: 2 time series × (1 original + 3 lags) + 1 extra padding.
let lagged = lag_matrix_2d(&data, MatrixLayout::ColumnMajor(4), 3, lag, 9).unwrap();

assert_eq!(
    lagged,
    &[
    //   original
    //   |-----|    first lag
    //   |     |     |-----|    second lag
    //   |     |     |     |     |-----|    third lag
    //   |     |     |     |     |     |     |-----|
    //   ↓     ↓     ↓     ↓     ↓     ↓     ↓     ↓
        1.0, -1.0,  lag,  lag,  lag,  lag,  lag,  lag, padding,
        2.0, -2.0,  1.0, -1.0,  lag,  lag,  lag,  lag, padding,
        3.0, -3.0,  2.0, -2.0,  1.0, -1.0,  lag,  lag, padding,
        4.0, -4.0,  3.0, -3.0,  2.0, -2.0,  1.0, -1.0, padding
    ]
);

Modules

• prelude
  The prelude.

Enums

• LagError
  An error during creation of a lagged data matrix.
• MatrixLayout
  Describes the layout of the data matrix.

Traits

• CreateLagMatrix
  Provides the lag_matrix and lag_matrix_2d functions for slice-able copy-able types.
• LagMatrixFromArrayndarray
  Provides the lag_matrix function for Array1 and Array2 types.

Functions

• lag_matrix
  Create a time-lagged matrix of time series values.
• lag_matrix_2d
  Create a time-lagged matrix of multiple time series.