The software implements particle filtering and Rao Blackwellised particle filtering for conditionally Gaussian Models. The RB algorithm can be interpreted as an efficient stochastic mixture of Kalman filters. The software also includes efficient state-of-the-art resampling routines. These are generic and suitable for any application. For details, please refer to Rao-Blackwellised Particle Filtering for Fault Diagnosis and On Sequential Simulation-Based Methods for Bayesian Filtering After downloading the file, type \"tar -xf demo_rbpf_gauss.tar\" to uncompress it. This creates the directory webalgorithm containing the required m files. Go to this directory, load matlab and run the demo.