I've been studying discrete time series models for a while. I'm familiar with the usual time series models (ARMA, ARIMA, GARCH, etc.), but I want to study their continuous counterparts (CAR and CARMA processes seem very interesting) in order to implement some models to unevely spaced time series.
Despite of the above, I've been trying to find some introductions to continuous time series theory and methods as good as Brockwell & Davis (1991) book, but I couldn't find any, just some reviews here and there (specially the ones by Brockwell).
Do you have any suggestions for a good book on this topic? Thanks in advance!
PS: Please take into consideration that my background doesn't have much measure theory, and in order to read the discrete Time Series literature I had to pretty much teach myself from lecture notes and reviews I found on the web (suggestions on this topic are also welcomed!).