[R] recursive penalized regression

[F.Tusell]

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 Econometría y Estadística           etptupaf at bs.ehu.es 
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