"Practical Filtering" for On-line Bayesian State and Parameter Estimation.

• Practical Filtering with Sequential Parameter Learning. (pdf)
  Polson, N. G., Stroud, J. R. and Müller, P. (2008).
  Journal of the Royal Statistical Society, Series B, 70, 413-428.
  

• Practical Filtering for Stochastic Volatility Models. (pdf)
  Stroud, J. R., Polson, N. G. and Müller, P. (2004).
  State Space and Unobserved Components Models  (Harvey et al., eds.),
  Cambridge University Press, 236-247.
  

• AR(1) plus Noise Model: (C source code) (input file)

• Stochastic Volatility Model: (C source code) (input file)

• Dynamic Spatio-Temporal Model: (Coming soon)