Hi everyone. I have a question about the Kalman filter and DLM package. I have Initial data: regression : y = bx Purpose: make adaptive b Decision: After MLE define the unknown parameter V, W. Define state-space model dlmRegr (...) with V,W Than we implement dlmFilter and dlmSmooth (As i know, on this period dlmFilter estimates b). This method works well for in-sample area. How I can implement this approach to adapt b for future data, using results obtaining at previous steps? Thanks
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