3.1 Introduction3.2 Continuous‐Time State‐Space Models3.3 Sampled‐Data State‐Space Models3.4 Discrete‐Time State‐Space Models3.5 Gauss–Markov State‐Space Models3.6 Innovations Model3.7 State‐Space Model Structures3.8 Nonlinear (Approximate) Gauss–Markov State‐Space Models3.9 SummaryMATLAB NotesReferencesProblems