Dear David, 

I encountered your query from last September on the internet, and I need the very same thing myself, so I was wondering if you have already found a code that handles this problem. To refresh your memory I attach your query.

Thanks in advance, 
Gady Zohar.


>Hi
>
>Does anyone know of any R code for estimating a *multivariate* state
>space model using a Kalman filter where the output matrix H(t) is
>time-varying but predictable (i.e. measurable w.r.t information at time 
>t-1) in the observation equation 
>
>y(t) = H(t) z(t) + R w(t)? 
>
>[Here y(t) are the observations, z(t) is the state variable, w(t) the
>observation error and R R' the observation error covariance]
>
>Cheers,
>David


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