tmcovar

swordfish.function.tmcovar()

Calculate the moving covariance of X and Y in a sliding window.

Parameters:

• T (Constant) – A non-strictly increasing vector of temporal or integral type. It cannot contain null values.

• Y (Constant) – A vector of the same size as T.

• X (Constant) – A vector of the same size as T.

• window (Constant) – A scalar of positive integer or DURATION type indicating the size of the sliding window.