Dynamic Linear Models with R (Use R!)
Statistical Rethinking: A Bayesian Course with Examples in R and Stan (Chapman & Hall/CRC Texts in Statistical Science Book 122)
Time Series Analysis by State Space Methods (Oxford Statistical Science Series Book 38)
Bayesian Data Analysis (Chapman & Hall/CRC Texts in Statistical Science Book 106)
Time Series Analysis and Its Applications: With R Examples (Springer Texts in Statistics)
Doing Bayesian Data Analysis: A Tutorial with R, JAGS, and Stan
Forecasting, Structural Time Series Models and the Kalman Filter
Applied Predictive Modeling