Before revision:  To illustrate the use of PMH, we consider parameter inference in a linear Gaussian SSM with synthetic data and a nonlinear stochastic volatility model with real-world data . We conclude the tutorial by discussing important possible improvements to the algorithm and we also list suitable references for further study .
After revision:  To illustrate the use of PMH, we consider parameter inference in a linear Gaussian SSM with synthetic data and a nonlinear stochastic volatility model with real-world data .