I want to do a rolling window calculation for multivariate data. In other
words: rollFun in fMultivar makes univariate calculations, ie, given for
example mydata[1:5], mydata[2:6], … I get one number (the function applied
to mydata[1:5]) every time. rollingFunction in PerformanceAnalytics does the
same but for possibly multivariate data, but one column at a time. rapply in
zoo also does rolling window for univariate data (at least, all examples are
with univariate data).



What I would like is to perform rolling windows but for dataframes, ie, for
mydata[1:5,], mydata[2:6,], … to get one number for each function call.



Is there a function in R that does that?

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