Message-ID: <ad1ead5f0911032054j35721824ke01d7701698f9935@mail.gmail.com>
Date: 2009-11-04T04:54:52Z
From: R_help Help
Subject: Sequential MLE on time series with rolling window
Hi,
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.
rc