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 ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.