A couple that we find particularly useful. Also see the links on the Code Links page.

Time Series Analysis and Its Applications: With R Examples. 2007. Shumway and Stoffer. Chapter 6 in particular. (the R code you are using today is based directly on Chapter 6)

Forecasting, structural time series models and the Kalman filter. 1989. Andrew C. Harvey. Chapter 3 in particular.

Analysing Ecological Data. 2007. Zuur et al. The chapters and examples using dynamic factor analysis will give you some more examples of using MSSMs for ecological time-series data. The book won’t help you figure out the algorithms however….(you need to go to Shumway and Stoffer for that)