I've created a DLM (using the dlm package in R) with a linear trend (dlmModPoly(2)) and a seasonal component (dlmModSeas(seasons)). After filtering, the residuals look Gaussian according to a qqplot. The confidence band around the estimates looks very good as well.
However, the acf plot of the residuals shows definite autocorrelation. I assume I need to improve my variance estimates from dlmMLE? Does anyone have any suggestions on where to start?