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...els, http://cran.r-project.org/web/packages/dlm/index.html I have read both the vignette and?"An R Package for Dynamic Linear Models" (http://www.jstatsoft.org/v36/i12/paper), both of which are very helpful. There is also some discussion at https://stat.ethz.ch/pipermail/r-help/2009-May/198463.html I have what I think is a relatively straightforward state-space model but am unable to translate it into the terms of dlm. ? It would be very helpful to get a basic dlm setup for the problem and I would guess that I can then modify it with more lags, etc., etc. The main equation is pi[t] = a...