I have been dealing with the following problem. I have kind of a real time system and every time frame I read its current value, creating a time series (such as 1, 12, 2, 3, 5, 9, 1, ...). I'd like to know methods (statistical and machine learning) to forecast the next value in an online fashion (meaning every time a new value is read). I tried R's ARIMA and Weka's SMOreg, they result in good predictions, but they are kind of slow as every time a new value comes I have to redo the math.

P.S. It would be great also if the method had a confidence interval.