Overview
The observation equation
{% \vec{Y}_t = G_t \vec{X}_t + \vec{W}_t %}
{% \vec{W}_t \: \sim \: WN(\vec{0}, R_t) %}
The state equation
{% \vec{X}_{t+1} = F_t \vec{x}_t + \vec{V}_t %}
{% \vec{V}_t \: \sim \: WN(\vec{0}, Q_t) %}