I am developing a forecasting solution using R's dlm package and it is proving to be very useful for most of our requirements.

However, I am also keen on sharing information among different time series in the form of hierarchical priors (think related product lines, markets, etc) and I was wondering if anyone has any thoughts as to how to do that with dlm?

I know that this might not be possible out-of-the-box, but does anyone have any thoughts as to whether this can be achieved through e.g. interfacing with Stan or any other way?


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