[R] Structural TS and recursive estimation

julien.ruiz@airfrance.fr julien.ruiz at airfrance.fr
Mon Aug 5 11:21:35 CEST 2002

Hello everyone,

Since my question is quite theorical, I am not sure whether it is the right
place to ask, but anyway...
I am working on time series and I looked at some way to fit my data through
arima models.
Since these data are updated frequently, I was looking at a way to update
the model "on line" (to get a kind of recursive estimation)
So the next step was to express the arima models as state-space
(structural) models.
The idea was to use the recursive formulaes of a Kalman Filter, in order to
get an estimation of the kind of the recursive least square.
But it seems to me that the estimation of these structural models requires
a likelihood maximization which is not recursive.

So my question is :
In a structural model, can the likelihood maximization be done recursively

Upon what I read in 2 first articles of the 2/2 issue of R News, I don't
think it is done this way in R.

Thanks in advance,



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