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Sorry, for the late answer! I would implement for single column (dimension) TimeArray first, then I would add vectorization with ".", where each rolling function is applied to each column separately, and then summed into a TimeArray . Something like that.
@StepanSushko I'm developing a fork of RollingFunctions you could check out: https://github.com/kevindirect/MapSlide.jl
It supports operating on AbstractArray, not just vectors. It's still a WIP and there may be things that need to be improved, feedback or suggestions would be welcome!
It would be nnatural to run rolling functions on (multidimensional) time-series (TimeArrays in Julia) and get TimeArray back. Thanks in advance.
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