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| arms | Function to perform Adaptive Rejection Metropolis Sampling |
| ARtransPars | Function to parametrize a stationary AR process |
| as.dlm | dlm objects |
| bdiag | Build a block diagonal matrix |
| convex.bounds | Find the boundaries of a convex set |
| dlm | dlm objects |
| dlmBSample | Draw from the posterior distribution of the state vectors |
| dlmFilter | DLM filtering |
| dlmForecast | Prediction and simulation of future observations |
| dlmLL | Log likelihood evaluation for a state space model |
| dlmMLE | Parameter estimation by maximum likelihood |
| dlmModARMA | Create a DLM representation of an ARMA process |
| dlmModPoly | Create an n-th order polynomial DLM |
| dlmModReg | Create a DLM representation of a regression model |
| dlmModSeas | Create a DLM for seasonal factors |
| dlmModTrig | Create Fourier representation of a periodic DLM component |
| dlmRandom | Random DLM |
| dlmSmooth | DLM smoothing |
| dlmSvd2var | Compute a nonnegative definite matrix from its Singular Value Decomposition |
| is.dlm | dlm objects |
| NelPlo | Nelson-Plosser macroeconomic time series |
| residuals.dlmFiltered | One-step forecast errors |
| rwishart | Random Whishart matrix |
| USecon | US macroeconomic time series |