To my knowledge there is no convenient support for particle filtering in SAS yet. Particle filtering is used when data follows nonlinear or non-Gaussian state space model. If a problem can be formulated as a linear state space model, you can analyze it using PROC UCM or PROC SSM. PROC UCM is restricted to the analysis of univariate response series---it permits a variety of ways to handle predictor series. For univariate analysis PROC UCM is often easy to use and often quite adequate. If you want to analyze more general types of sequential data (multivariate time series, panel data, or longitudinal data) then you can consider PROC SSM. The documentation of both procedures (and SGF papers) contain many illustrative examples of their use.
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