In a multifactor HJM framework,this paper transforms a class of non-Markovian forward rate models with a specific volatility specification into the Markovian representation,which is further cast into a state-space model.Then a maximum likelihood estimator based on the unscented Kalman filter is introduced into the estimation of the term structure models,thus getting the problems of nonlinearity and the existence of latent variables resolved.For the empirical study,a three-factor HJM model is est...