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 Reverting. Regards, Ser -- View this message in context: http://r.789695.n4.nabble.com/DLM-package-State-Space-tp4646928.html Sent from the R help mailing list archive at Nabble.com.