Is there a function which does a rolling calcualtion with 2 input vectors.
"rollapply" and "rollFun" seem to use only one input vector.

 

I want to calcualte some prediction evaluation measures like MSE and MAE
with a rolling window. My functions look like 

 

prediction.mse(pred,true)

prediction.mae(pred,true)

...

 

pred and true are two vectors of equal size, the predictions and the
realizations.

 

Any ideas?

 

Best,

Martin

 


	[[alternative HTML version deleted]]

