DECO-approach

Link 1: http://www.francescoravazzolo.com/pages/DeCo.html
Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox
Admit:

Link 2: http://cran.at.r-project.org/web/packages/AdMit/index.html
See for more information the following publication: Ardia, D. Hoogerheide, L.F., Van Dijk, H.K. (2009). AdMit: Adaptive Mixture of Student-t distributions, R-news.

Link 3: http://www.jstatsoft.org/v29/i03
See also: Ardia, D., Hoogerheide, L.F., van Dijk, H.K (2009). Adaptive Mixture of Student-t Distributions as a Flexible Candidate Distribution for Efficient Simulation: The R Package AdMit. Journal of Statistical Software, volume 29, issue 1.

ParMitISEM

Link 4: https://www.jstatsoft.org/issue/view/v079.
Nalan Basturk, Maastricht University , the Netherlands; Stefano Grassi, University of Kent, United Kingdom; Lennart Hoogerheide, VU University Amsterdam, the Netherlands; Anne Opschoor, VU University Amsterdam, the Netherlands; Herman K. van Dijk, VU University Amsterdam, Erasmus University Rotterdam, the Netherlands,  The R Package MitISEM: Mixture of Student-t Distributions using Importance Sampling Weighted Expectation Maximization for Efficient and Robust Simulation, Journal of Statistical Software, 2017, Vol. 79, 1, 1- 40.
Consumer Price Index (CPI) code and data

Link 5: http://people.few.eur.nl/hkvandijk/downloads/CPI_code_and_data_De_Pooter_et_al.zip
See for more information the following publication: De Pooter, M.D., Ravazzolo, F., Segers, R., van Dijk, H.K. Bayesian near-boundary analysis in basic macroeconomic time series models. Econometric Institute Report Series. 2008-08-25 (link to pdf).