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
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