I'd like to have an online horizon=k forecast with Arima, something like: library(forecast) air.model = Arima(AirPassengers[0:100], c(1,0,1), seasonal=list(order=c(0,1,1), period=12)) for(i in 0:(length(AirPassengers)-100)) { air.model2 = Arima(AirPassengers[0:(100+i)], model=air.model) cat(forecast(air.model2, h=2)$mean, '\n') } But this approach, even if not fitting the model from scratch, is still very slow for big timeseries. Some hints to speed it up? Thanks, Matteo [[alternative HTML version deleted]]