I familarized myelf with kalmanlike and structts which are approaches for building and estimating ( and forecasting ) state space models ( or the equivalent arima models ). back in 2003, gavin simpson wrote an email describing the west and harrison apprach to estimate state space models and asked if anything was out there for using that approach. the goals of this approach are the same as kalman like and structts but priors are put on the variances and a bayesian approach is used to estimate the next "state". in this manner, , all numerical optimization is avoided ( but obviously the results are different also so it's not necessarily a "better" approach. just different ). i'm dealing with minute by minute data so , for me, it's essential to avoid computing likelihoods over and over. is it possible, that , since gavin's email, the west and harrison approach has been built in one of the many packages out there. i looked really hard but i couldn't find it. my guess is that the answer is no. thanks for any input. mark --------------------------------------------------------
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