Arnaud Doucet received a Ph.D. degree in Electrical Engineering from the University of Paris-XI Orsay in 1997. From 1998-2000, he conducted research at the Signal Processing Group of Cambridge University, in the United Kingdom. He is currently an assistant professor at the Department of Electrical Engineering of Melbourne University, Australia. His research interests include Bayesian statistics, dynamic models, and Monte Carlo methods. Nando de Freitas obtained a Ph.D. degree in information engineering from Cambridge University in 1999. He is presently a research associate with the artificial intelligence group of the University of California at Berkeley. His main research interests are in Bayesian statistics and the application of on-line and batch Monte Carlo methods to machine learning. Neil Gordon obtained a Ph.D. degree in statistics from the Imperial College, University of London, in 1993. He is with the Pattern and Information Processing group at the Defence Evaluation and Research Agency in the United Kingdom. His research interests are in time series, statistical data analysis, and pattern recognition with a particular emphasis on target tracking and missile guidance.