[R] recursive penalized regression

F.Tusell etptupaf at bs.ehu.es
Wed Jan 19 10:35:05 CET 2005


Seems to me that your requirements 1 and 2 could be met by casting the
autoregressive model in state-space form and using the Kalman filter.
I am not sure about the kind of regularization that you want to  apply
to model coefficients, but it could also likely be accommodated: see
Durbin and Koopman "Time Series Analysis by State Space Methods", sec.
6.5.

Best, ft.
-- 
Fernando TUSELL                                e-mail:
Departamento de Econometría y Estadística           etptupaf at bs.ehu.es 
Facultad de CC.EE. y Empresariales             Tel:   (+34)94.601.3733
Avenida Lendakari Aguirre, 83                  Fax:   (+34)94.601.3754
E-48015 BILBAO  (Spain)                        Secr:  (+34)94.601.3740




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