I familarized myelf with kalmanlike and structts which are approaches
for building and estimating ( and forecasting ) state space models ( or
the equivalent arima models ).
back in 2003, gavin simpson wrote an email describing the west and
harrison apprach to estimate state space models and asked if anything
was out there for
using that approach.  the goals of this approach are the same  as kalman
like and structts but priors
are put on the variances and a bayesian approach is used to estimate the
next "state". in this manner, , all numerical optimization is avoided (
but obviously the results are different also so it's not necessarily a
"better" approach. just different ).
 
i'm dealing with minute by minute data so , for me, it's essential to
avoid computing likelihoods over and over. is it possible, that , since
gavin's email, the west and harrison approach has been built in one of
the many packages out there. i looked really hard but i couldn't find
it.
my guess is that the answer is no. thanks for any input.
 
 
mark
--------------------------------------------------------

This is not an offer (or solicitation of an offer) to buy/sell the securities/instruments mentioned or an official confirmation.  Morgan Stanley may deal as principal in or own or act as market maker for securities/instruments mentioned or may advise the issuers.  This is not research and is not from MS Research but it may refer to a research analyst/research report.  Unless indicated, these views are the author's and may differ from those of Morgan Stanley research or others in the Firm.  We do not represent this is accurate or complete and we may not update this.  Past performance is not indicative of future returns.  For additional information, research reports and important disclosures, contact me or see https://secure.ms.com/servlet/cls.  You should not use e-mail to request, authorize or effect the purchase or sale of any security or instrument, to send transfer instructions, or to effect any other transactions.  We cannot guarantee that any such requests received via e-mail will be processed in a timely manner.  This communication is solely for the addressee(s) and may contain confidential information.  We do not waive confidentiality by mistransmission.  Contact me if you do not wish to receive these communications.  In the UK, this communication is directed in the UK to those persons who are market counterparties or intermediate customers (as defined in the UK Financial Services Authority's rules).

	[[alternative HTML version deleted]]

