4} + a^{2}\right) &amp; v_{2} \left(a^{5} + a^{3} + a\right) &amp; v_{2} \left(a^{6} + a^{4} + a^{2} + 1\right)\end{matrix}\right] 
  \end{align}\]</span></p>
</div>
<div id="dynamic-linear-model" class="section level2">
<h2 class="hasAnchor">
<a href="#dynamic-linear-model" class="anchor"></a>Dynamic linear model</h2>
<p>Augment the <span class="math inline">\(AR(1)\)</span> process above with <span class="math inline">\(y_i=b x_i + u_i\)</span> for <span class="math inline">\(i=1,2,3\)</span>. Suppose <sp