I think rugarch package is doing what you need . Also it uses cluster option to increase performance :
http://www.unstarched.net/r-examples/rugarch/a-short-introduction-to-the-rugarch-package/ -----Original Message----- From: "cyl123" [505186...@qq.com] Date: 03/26/2014 09:43 PM To: "r-help" <r-help@r-project.org> Subject: [R] how to do ARIMA prediction with high performance Hi, I need to process a data stream using ARIMA model in real-time, that is : I need to build a ARIMA model and do prediction in every 1 minute using a slide window with 200 samples . To improve the performance of prediction, what I plan to do is: 1) to build ARIMA model using some history data; 2) to predict the data within slide window using the ARIMA got in step 1) . Is it possible to do this? and how? Or is there other way to do the prediction with high performance? Thank you very much! Hellen [[alternative HTML version deleted]] ______________________________________________ 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. ______________________________________________ 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.