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.
[1] 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.
[2] Mike Klaas, Nando de Freitas and Arnaud Doucet. Toward Practical N^2 Monte Carlo: The Marginal Particle Filter. UAI 2005.