MATLAB: Nelson siegel model estimed by Kalman Filter

kalman filternelson siegel

Hi, I'm having some trouble in estimating the Nelson Siegel model with the Kalman Filter according to the metodology presented in the paper "The macroeconomy and the yield curve: a dynamic latent factor approach". Can I share some ideas with someone who is familiar with this approach.

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Hi, I hope you're well.I'm working with the Nelson Siegel model as well.I'm wondering whether you have solved it and how you solved it.Thank you!
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