Maximum Lag

Maximum lag

The maximum lag is a required parameters in the settings dictionary.

settings = {'maxlag': 5}

Sub-sampling

It is also possible to only include a subset of the past samples into the candidate sets. The parameter 'tau' can be set to sub-sample the past of the processes, i.e. only adding every i^th sample:

settings = {'max_lag': 5,
            'tau': 2}