[R] recursive multivariate filter with time-varying coefficients

[Ingmar Visser]

Hi,

I've been searching CRAN and the web for a recursive multivariate  
filter with time-varying coefficients.

What I mean is the following:

I have a series of square matrices A_t
an initial value vector y_0

and I need to compute

y_t =A_t%*%y_t-1

As these y_t may diverge quickly and/or lead to underflow problems,
the y_t need to be scaled by eg

y_t =y_t/sum(y_t-1)

Is anyone aware whether this has been implemented somewhere?

Best, Ingmar