[c.sub.t] is a vector of deterministic components, possibly including time trends, while the [A.sub.j] are conformable matrices that capture lag dynamics.
[A.sub.t], [B.sub.t], C, and D are known conformable matrices. The standard approach for deriving the posterior for [x.sub.t] in this system was developed by Carter and Kohn (1994), which builds on the Kalman filter and which we discuss in the next section.