Step 1) Maximize MLE to estimate initial values (etc: Alphabar, ...., Delta bar, Variances of State equation Error, Observation Error,..... etc... ) ( I also use L-BFGS-B methods to optimization but I failed. :( )
Step 2) Apply estimated values from step 1 in Kalman Filter to filtering.
Then obtain MSE etc ( I can calculate by myself)
Please let me know whether I can follow these steps in DLM package or not.