I have a different category of equation which is also a linear polynomial equation of order 1 with constant coefficients. I would like to know if there is any way of modelling this custom set of equations( I want to optimize the parameters using MLE) :
Here wt and et are noise parameters with mean 0 and variance 1
As you can see here we have the parameters H and C attached with the noise terms whereas standard DLM has 1 as coefficient to the noise term.Also there is a constant intercept A Is it possible to model it with DLM?
A,B,C are further used to calculate mean and speed of reversion using the below equations, so my main task here is to optimize A,B,C using MLE