You will need to file the motion to modify custody in Michigan. With that motion, you can file a motion to transfer the case to Kentucky. If the mother still lives in Michigan and fights the jurisdiction, it can get a bit difficult. You have the advantage though that your daughter already lives with you in Kentucky as one of the factors to change jurisdiction would be that the child has resided in another state for a period in excess of 6 months and the now relevant witness live in Kentucky. If the mother agrees, you can file the motion to modify and to transfer the case to KY by consent. It will serve you best to have an attorney in Michigan prepare and file these motions.
It actually isn't as simple as the other counsel have stated. It is more complicated than that...there isn't a case here in KY to transfer to, so under some laws that all 50 states have, you'd need to open a case in KY to bring the case from MI. An experienced family law attorney will know this process and can help guide you through it. It is highly technical and I strongly recommend having an attorney do it for you.