[R] Problem when estimating through "dlm" package

[Daniel Miquelluti]

I'm trying to set up an AR(2) model in the dlm context. I've generated a time series utilizing the code: 

    am = 800; #sample size 
    des = 200; #initial values to be discarded 
    V = 0.5 
    v = rnorm((am+des+1),0,sqrt(V)) 
    W = 0.9 
    w = rnorm((am+des+1),0,sqrt(W)) 
    U = 0.9 
    u = rnorm((am+des+1),0,sqrt(U)) 
    phi1 = 0.6; 
    phi2 = -0.4; 
    mu=matrix(0,nrow=(am+des+1)) 
    mu[2,1] = 10; 
    x=matrix(0,nrow=(am+des+1)) 
    x[1,1] = 0; 
    x[2,1] = 0; 
    #---------------------------------------------------------- 
   yg=NULL 
   for (i in 3:(am+des+1)) { 
       mu[i] = mu[i-1] + w[i] 
       x[i] = phi1*x[i-1] + phi2*x[i-2] + u[i] 
       yg[i] = mu[i] + x[i] + v[i] 
      } 

     y=NULL 
     for (i in 1:(am + 1)) { 
     y[i] = yg[(i+des)] 
     } 
And obtained the estimates through: 

     buildfun = function(theta) { 
     dlm(FF=t(c(1,1,0)),GG=matrix(c(1,0,0,0,theta[1],theta[2],0,1,0),nrow=3,byrow=T), 
     V=exp(theta[3]),W=diag(c(exp(theta[4]),exp(theta[5]),0)), 
     m0=c(0,0,0),C0=diag(c(0.3,0.8,0.7))) 
     } 

     estMLE = dlmMLE (y, parm = c(0,0,0,0,0), build=buildfun) 
     phis=estMLE$par[1:2] 
     variances=exp(estMLE$par[3:5]) 
     c(phis,variances) 

The estimates are not very close to the values defined in the series generated. I think there is some sort of problem in the model specified in "buildfun", however, I cannot identify it. Any help is appreciated.

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