Seems to me that your requirements 1 and 2 could be met by casting the autoregressive model in state-space form and using the Kalman filter. I am not sure about the kind of regularization that you want to apply to model coefficients, but it could also likely be accommodated: see Durbin and Koopman "Time Series Analysis by State Space Methods", sec. 6.5.
Best, ft. -- Fernando TUSELL e-mail: Departamento de Econometr�a y Estad�stica [EMAIL PROTECTED] Facultad de CC.EE. y Empresariales Tel: (+34)94.601.3733 Avenida Lendakari Aguirre, 83 Fax: (+34)94.601.3754 E-48015 BILBAO (Spain) Secr: (+34)94.601.3740 ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
