[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
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