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Is there an equivalent to MovingMap[] for functions that work on more than

Posted 9 years ago

I have a family of functions that require two TimeSeries (A and B). As a trivial example, imagine a function called beta[tsA,tsB] that determines the slope of the linear regression line for the changes in A relative to changes in B. It is easy to find the slope for the entire series, but what if I want to apply it on a rolling basis?

MovingMap[] is no help because it allows only one TimeSeries as an argument. MapThread[] works but requires sacrificing all of MovingMap[]'s sophistication about TimeSeries.

Any suggestions?

POSTED BY: Michael Stern
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