[R] "DLM " package + State Space

nserdar snes1982 at hotmail.com
Sun Oct 21 20:48:28 CEST 2012

I plan to estimate the multi-factor model for Kalman Filter Mean Reverting, 
Random Coefficient. 

For example: 

R(it)= Alpha(it)+ Beta(it)R(mt)+Gamma(it)(R(mt)^2)+delta(it)(R(mt)^3)+ V(it) 

Note:  (alphabar= Mean  Alpha,  Betabar= Mean Beta, Gamma= Mean Gamma,
Deltabar= Delta Mean) 
KF Mean Reverting 

Alpha(it)= Alphabar(i)+ phi* (Alpha(it-1)-Alphabar(i))+W(i1t) 
Beta(it)= Betabar(i)+ phi* (Beta(it-1)-Betahabar(i))+W(i2t) 
Gamma(it)= Gammabar(i)+ phi* (Gamma(it-1)-Gammabar(i))+W(i3t) 
Delta(it)= Deltabar(i)+ phi* (Delta(it-1)-Deltabar(i))+W(i4t) 

Kf Random Coefficient 

Alpha(it)= Alpha bar(i)+ W(i1t) 
Beta(it)= Beta bar(i)+ W(i2t) 
Gamma(it)= Gamma bar(i)+W(i3t) 
Delta(it)= Deltabar(i)+W(i4t) 

Please let me know how to modify  in DLM package for Kalman Filter Mean


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