Hi to everyone, Recently I became aware of an R package for Sequential Monte Carlo particle filtering called pomp [Check the CRAN site] I have found hard to learn and understand the package at a first passage and I was wondering if someone of you would like to share her/his experience of a pomp implementation of a system of SDEs In particular I am trying to implement in POMP an extended Nelson Siegel Interest rate model The system of discrete time equations is as follows y_(t ) (T)=b_(0,t)+b_(1,t)*f_1 (l_t )+b_(2,t)*f_2 (l_t )+e_t*e^(h_t ) h_t=(1-Q^h )*?mu?^h+Q^h*h_(t-1)+v_t lnl_t=(1-Q^l )*?mu?^l+Q^l*?lnl?_(t-1)+z_t diag(b1,b2,b3)=B B_t=(1-Q^B )*?mu?^B+Q^B* B_(t-1)+W_t*e^(D_t ) D_t=(1-Q^D )*?mu?^D+Q^D* D_(t-1)+u_t I am attaching a word document with the above system of equations in a more readable form please check out!!! Is there anyone who could provide some guidance on implementing this system in pomp?? Can you provide some R code to guide the implementation of the above system? Tnks in advance for your help christos -- View this message in context: http://r.789695.n4.nabble.com/Extended-Nelson-Siegel-model-SMC-with-R-POMP-tp4534457p4534457.html Sent from the R help mailing list archive at Nabble.com.