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
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