I'm trying to use Kalman Filtering to estimate the parameters of the G2++ short rate model. For this, I've been using Implementing Short Rate Models: A Practical Guide by F.C. Park.

For reference, he uses the following as the state and observation equations respectively.

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Where, enter image description here

Though I can follow the equations mathematically, I am having some trouble implementing this filter in code (R, Matlab, Python).

Looking for a good resource or maybe some hints towards implementing this in pseudocode. Thanks!



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