Same idea as getCormatCustom(rho1DayBand, dates) but runs faster.

getcormatTaoBand

Usage

getCormatTaoBand(max.tao = as.difftime(1, units = "days"))

Arguments

max.tao

length of the covariance band, defaults to 1 day

Value

matrix of the covariances

Details

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.