[R-SIG-Finance] MARSS for Kalman Filter Mean Reverting

[nserdar]

Hi 

I need to modify Kalman Filter Mean Reverting Model outlined below in MARSS
package !!!

For example: 

R(it)= Alpha(it)+ Beta(it)R(mt)+ V(it)                   V(it)~ N(0,H)
  
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)               W~
N(0,Q)

Please let me know how to modify above equations with MARSS.

Regards, 
Serdar



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