[R] Sequential MLE on time series with rolling window

R_help Help rhelpacc at gmail.com
Wed Nov 4 05:54:52 CET 2009


Assuming I have a time series on which I will perform rolling-window
MLE. In other words, if I stand at time t, I'm using points t-L+1 to t
for my MLE estimate of parameters at time t (here L is my rolling
window width). Next, at t+1, I'll do the same.

My question is that is there anyway to avoid performing MLE each time
like does the above. My impression is that rolling from point t to
t+1, the likelihood function is equivalent to cutting out point t-L+1
and add back likelihood at point t+1. Is there any smart way to
sequentially update the MLE instead of brute force calculation every
time? Any suggestion or reference would be appreciated. Thank you.


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