Hi,
 
Few days ago I posted a question to r-sig-finance, which I thought would
be an easy one. To my surprise I have received no replies, which makes
me think that it is either harder than I thought, or that it makes no
sense. I am reposting the message (with some modifications) on the
R-help in a hope to get some leads, suggestions for alternatives, etc.
My apologies to those who had seen this on r-sig-finance.
 
 
I want to do a univariate no frills autoregression. The major
non-standard requirements are:
1. When estimating model parameters at time t the algorithm can only use
data up to time t.
2. The weights of the past observations should decay with time, e.g
exponentially
3. ability to apply some penalty, e.g. L2 (ridge), L1 (lasso), etc., to
model coefficients (or any other regularization technique)
 
Thanks in advance for your help,
Vadim

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