I'm trying to do a rolling correlation between two data.table columns.
dt <- data.table(a=-1:10,b=1:12) > dt a b 1: -1 1 2: 0 2 3: 1 3 4: 2 4 5: 3 5 6: 4 6 7: 5 7 8: 6 8 9: 7 9 10: 8 10 11: 9 11 12: 10 12 Here's what I've tried using rollapply from zoo:
library(zoo) dt[,rcor:=rollapplyr(as.list(a,b),width=5, FUN=function(y) {return(cor(y[[1]],y[[2]]))},fill=NA)] Error in zoo(data) : “x” : attempt to define invalid zoo object and with roll_cor from roll:
library(roll) roll_cor(dt[,.(a,b)],5) Error in roll_cor(dt[, .(a, b)], 5) : Not compatible with requested type: [type=list; target=double]. 
