Functions that each produce an autocorrelation matrix with a specified pattern.

Accepts a vector of date-times or dates and returns a correlation matrix describing the assumed correlations between all possible pairs of those dates.

cormatEqualDates formalizes the assumption used by LOADEST and rloadest: if two date-times are on the same calendar date, the correlation (rho) is 1. Otherwise, rho=0.

Usage

cormatEqualDates(dates)

cormat1DayBand(dates)

cormatDiagonal(dates)

Arguments

dates

date-times (as Date, POSIXct, chron, etc.) from which the autocorrelation matrix should be produced.

Value

A matrix of autocorrelation coefficients for all possible pairs of date-times in dates.