Kalman Filter parameter estimation

[Mitor]

Hello All
Does anyone has a paper/code of implementation of Kalman Filter for any two factor interest rate model?
thanks

 

[yetanotherquant]

http://www.bankofcanada.ca/wp-content/uploads/2010/02/wp01-15a.pdf

 

[Mitor]

Thanks. I already skimmed that paper, was expecting another one.

 

[yetanotherquant]

check your private mailbox

 

[Mitor]

I have a question referring to the papaer uploaded above, I find that equation 77 is wrong since var(y_t|F_{t-1}) should be var(z_t|F_{t-1}) since that is the one used in the paper from Chen and Scotte. Is this true?