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Identification of Hammerstein-Wiener models., , , and . Autom., 49 (1): 70-81 (2013)Elements of Sequential Monte Carlo., , and . Foundations and Trends in Machine Learning, 12 (3): 307-392 (2019)Rao-Blackwellized particle smoothers for mixed linear/nonlinear state-space models., , , and . ICASSP, page 6288-6292. IEEE, (2013)Optimal controller/observer gains of discounted-cost LQG systems., and . Autom., (2019)Willems' fundamental lemma based on second-order moments., , , and . CDC, page 396-401. IEEE, (2021)Deep Convolutional Networks in System Identification., , , , and . CDC, page 3670-3676. IEEE, (2019)On the construction of probabilistic Newton-type algorithms., and . CDC, page 6499-6504. IEEE, (2017)Automatic 12-lead ECG Classification Using a Convolutional Network Ensemble., , , , , , and . CinC, page 1-4. IEEE, (2020)Direct Transmittance Estimation in Heterogeneous Participating Media Using Approximated Taylor Expansions., , , , and . IEEE Trans. Vis. Comput. Graph., 28 (7): 2602-2614 (2022)Getting started with particle Metropolis-Hastings for inference in nonlinear dynamical models, and . (2015)cite arxiv:1511.01707v4.pdfComment: 36 pages, 8 figures. Submitted to Journal of Statisical Software. Fixed typos and made minior revisions. Source code for R, Python and MATLAB available at: https://github.com/compops/pmh-tutorial.