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C++ API

: autoreg_matrix (y, k)

Given a time series (vector) y, return a matrix with ones in the first column and the first k lagged values of y in the other columns.

In other words, for t > k, [1, y(t-1), …, y(t-k)] is the t-th row of the result.

The resulting matrix may be used as a regressor matrix in autoregressions.

Package: octave