Dave -- 

One challenge is that the examples I have (and there are many) all go
with my course materials, so they are not really
self-contained. However, one pretty good one is this: please have a
look at problem 1 of the attached "hw5.pdf". I have also attached
relevant description of the example, together with a plot
(unfortunately as a series of pdf snapshot files----complete book text
is at www.stat.cmu.edu/~kass/temp/KassEdenBrownMay15.pdf).

I also suggest you look at 

          www.stat.cmu.edu/~kass/smbrain/homework/hw3.pdf

in case you think you might want to use some part of that
homework. The code is for this is at

          www.stat.cmu.edu/~kass/smbrain/code

Let me know if I can be of further help. In principle I could write
something up that could explain some further example---and I might be
able to find time to do this, but I would probably have to talk to you
to figure out what would make a good exercise. I hope the one I have
attached will work.

   Rob