It is recommended that you extract the demos in the bin/ directory so that the demo files are in a bin/demo_name directory. This is because the demos look in '../' to find the nbody_methods mex file. You can either download each demo separately, or all of them at once.
Run 'demo_MC' in Matlab to try it out.
Kitigawa Matlab Code. Stochastic Volatility Matlab Code.
Run 'pfs' in Matlab to try them out.
Run the 'timersmooth' function in Matlab to try it out.
 Mike Klaas, Mark Briers, Nando de Freitas, Arnaud Doucet, Simon Maskell and Dustin Lang. Fast Particle Smoothing: If I Had a Million Particles. ICML 2006.
 Mike Klaas, Nando de Freitas and Arnaud Doucet. Toward Practical N^2 Monte Carlo: The Marginal Particle Filter. UAI 2005.