I have a similar question to the one in the link below:
In the link they recommend the book by Commandeur and Koopman. I have this book already.
I was looking for something that is introductory like this book but takes things further to include non gaussian stats space models.
Does anyone know of online set of lecture notes that does this?
I have searched the net but most courses only seem to offer a chapter here and there on state space models?
I want a set of notes that focuses on state space models and goes into some depth say 50+ pages? As well as the mathematics I want a set of notes that provides the intuition as well as giving the pros/cons when comparing it to other approaches?
I have searched extensively but can't find what I want.
Can someone please point me in the right direction?