To cite dlm in publications use:

Giovanni Petris (2010). An R Package for Dynamic Linear Models. Journal of Statistical Software, 36(12), 1-16. URL http://www.jstatsoft.org/v36/i12/.
Petris, Petrone, and Campagnoli. Dynamic Linear Models with R. Springer (2009).

Corresponding BibTeX entries:

  @Article{,
    title = {An {R} Package for Dynamic Linear Models},
    author = {Giovanni Petris},
    journal = {Journal of Statistical Software},
    year = {2010},
    volume = {36},
    number = {12},
    pages = {1--16},
    url = {http://www.jstatsoft.org/v36/i12/},
  }
  @Book{,
    title = {Dynamic Linear Models with R},
    author = {Giovanni Petris and Sonia Petrone and Patrizia
      Campagnoli},
    year = {2009},
    series = {useR!},
    publisher = {Springer-Verlag, New York},
  }