Description Usage Arguments Details Value
getcormatTaoBand
1 | getCormatTaoBand(max.tao = as.difftime(1, units = "days"))
|
max.tao |
length of the covariance band, defaults to 1 day |
calculate the covariance 1 if dates are within the tao band, 0 if they are not Same idea as cormatrix(rho1DayBand, dates) but runs in linear instead of quadratic time - a big and much-needed improvement.
matrix of the covariances
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