Bayesian Normal Dynamic Linear and Nonlinear Models

A lightweight version of Bayesian Normal Dynamic Linear and Nonlinear Models with C++ routines.
It contains the univariate Bayesian DLMs as described in West and Harrison (1998), Chapter 4, with a strong emphasis on sequential inference.
Additionally, the package features two nonlinear models: autoregressive and transfer function models.

Bayesian DLM in R

Computation routines implemented Bayesian Dynamic Linear Model in R using S3 classes.
This routines were used in the paper: A review of Bayesian dynamic forecasting models: Applications in marketing.