def mtie_rolling_window(a, window):
    """
    Make an ndarray with a rolling window of the last dimension, from
    http://mail.scipy.org/pipermail/numpy-discussion/2011-January/054401.html

    Parameters
    ----------
    a : array_like
        Array to add rolling window to
    window : int
        Size of rolling window

    Returns
    -------
    Array that is a view of the original array with a added dimension
    of size window.

    """
    if window < 1:
        raise ValueError("`window` must be at least 1.")
    if window > a.shape[-1]:
        raise ValueError("`window` is too long.")
    shape = a.shape[:-1] + (a.shape[-1] - window + 1, window)
    strides = a.strides + (a.strides[-1],)
    return np.lib.stride_tricks.as_strided(a, shape=shape, strides=strides)