Downsample a multi-dimensional time series.

Downsample a multi-dimensional time series.

downsample(Xt, r, position = 1)

Arguments

Xt

One or two-column matrix of observations.

r

Integer of downsampling rate.

position

Integer of position index for downsampled series, smaller than or equal to r.

Value

An matrix of downsampled observation.

Details

Sample observations from original time series \(X = [X_0, X_2, X_3, ..., X_N]\) at constant rate r. For given position index i finally returns \(X_{ds} = [X_i, X_{i+r}, X_{i+2r}, ...]\).

Examples

# simulate a 2D fbm trajectory.
alpha <- 0.8
dt <- 1/60
N <- 1800
acf <- fbm_acf(alpha, dt, N)
dX <- SuperGauss::rnormtz(n = 2, acf = acf)
Xt <- apply(dX, 2, cumsum)

# downsample Xt by rate 2.
Xt_ds2 <- downsample(Xt, r = 2)