search for: filterish

I have a bayesian hierarchical normal regression model, in which the regression coefficients are nested, which I've wrapped into one regression framework, y = X %*% beta + e . I would like to run data through the model in a filter style (kalman filterish), updating regression coefficients at each step new data can be gathered. After the first filter step, I will need to be able to feed the a non-diagonal posterior covariance in for the prior of the next step. "gls" and "glm" seem to be set up to handle structured error cov...