Create lags or leads of a matrix

Find a shifted version of a matrix, adjusting the time base backward (lagged) or forward (leading) by a specified number of observations for each column.

Usage

lagmatrix(x, lag)

Arguments

x

A matrix or multivariate time series.

lag

A vector of lags (positive values) or leads (negative values) with a length equal to the number of columns of x.

Value

A matrix with the same class and size as x.

Examples

x <- matrix(rnorm(20), nrow = 5, ncol = 4)

# Create lags of a matrix
lagmatrix(x, c(0, 1, 2, 3))
#>            [,1]         [,2]       [,3]       [,4]
#> [1,] -0.7099464           NA         NA         NA
#> [2,]  0.6107264 -0.443291873         NA         NA
#> [3,] -0.9340976  0.001105352 -0.1351786         NA
#> [4,] -1.2536334  0.074341324  1.1780870  1.0630998
#> [5,]  0.2914462 -0.589520946 -1.5235668 -0.3041839
#> attr(,"class")
#> [1] "matrix" "array" 

# Create leads of a matrix
lagmatrix(x, c(0, -1, -2, -3))
#>            [,1]         [,2]       [,3]       [,4]
#> [1,] -0.7099464  0.001105352 -1.5235668  0.2670988
#> [2,]  0.6107264  0.074341324  0.5939462 -0.5425200
#> [3,] -0.9340976 -0.589520946  0.3329504         NA
#> [4,] -1.2536334 -0.568668733         NA         NA
#> [5,]  0.2914462           NA         NA         NA
#> attr(,"class")
#> [1] "matrix" "array"