Programming of rolling Kalman filter

[elilia]

Hi,

please, does anybody know if it is possible to program a rolling Kalman filter (not over time, but across a large number of individual funds)? I use rolling regressions for a large number of individual mutual funds and wanted to know if it is possible to also use Kalman filtering in this context. Otherwise, I would need to estimate each fund separately which would be almost impossible. I know that it is possible to estimate regressions for individual funds using loops in the program.

Thank you so much.

[elilia]

Please, could anybody help?