How does one now implement a discrete set of state space models?
I had used
KalmanFilter in the old TimeSeries application, but was keen on trying to do all this in the "new paradigm" of StateSpaceModel in Mathematica 10.
Mathematica's own docs for the TimeSeries package has a section on state-space form and the Kalman Filter.
Fundamentally I want to make F and G time-index dependent lists of matrices.
Ultimately I want to implement a time-varying CAPM model as described in Tsay using Mathematica 10.