Sequential Monte Carlo
So far only some basic examples of particle filters with an illustation using Stochastic Volatility (SV) model. Comparison of the accuracy and speed of the computations with the NAIS method of Koopman et al. (2015).
Koopman, S. J., A. Lucas and M. Scharth (2015), "Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models", Journal of Business and Economic Statistics, 33, 114-127.