Hello, all. I am asking this question in not necessarily a "subjectively recommend something for me" approach, but with a clear focus on just an accessible beginner's reference. My situation is I have been learning the theory behind Bayesian structural time series, or state space models estimated using Bayesian methods (some variant of MCMC), but have found it extremely difficult to find succinct guides on implementing them through code.
However, the single resource I located on Bayesian time-series that is both 1) relatively new, 2) features more complex models (HMM, non-linear, non-Gaussian), and 3) has full implementing code is Basic and Advanced Bayesian Structural Equation Modeling. Though featuring examples in BUGS, they seem more included for fullness, and the book does not attempt to explain how to code them.
So what do you all think is the best resource for coding more sophisticated Bayesian structural models, focusing on guiding you through its tool of choice (Stan, JAGS, OpenBUGS, some random R library...) rather than focusing on the theory? I hope the experienced Bayesians here can offer some pointers on where to get started.