Background and Objectives: Gene regulatory networks model the interactions among the genes and provide a decision rule describing activation and repression of each gene via various proteins. In order to be able to capture the complex gene interactions efficiently, it is imperative to develop algorithms that model the nonlinear interactions among the genes. This work considers the problem of inferring gene regulatory networks using time series data. A nonlinear model is assumed for the gene expression profiles, whereas the microarray data follows a linear Gaussian model. Methods: A particle filter based approach is proposed to estimate the gene expression profiles and the parameters are estimated online using the Kalman filter. In order to capture the inherent sparsity of gene networks, a least squares shrinkage selection operator (LASSO) based regression and model selection algorithm is proposed. Results: The performance of the aforementioned algorithm is rigorously evaluated for synthetic as well as real biological data sets arising from Drosophila melanogaster time series gene expression profiles. The results are contrasted with those reported in the literature. The performance of the proposed algorithm is compared with the extended Kalman filter (EKF) algorithm using mean square error (MSE) as the fidelity criterion. The proposed algorithm is observed to outperform the EKF in the scenarios considered. Conclusions: This work considered the problem of modeling and learning of gene regulatory networks using a nonlinear dynamical model. This represents a quite general modeling set-up. The gene network is modeled using a state space approach, and particle filtering is used for state estimation. The parameters regulating the interaction among genes are supplied by an online Kalman filter. Since the parameter vector is sparse, LASSO identifies the subset of these parameters pertaining to the relevant system coefficients. Extensive performance evaluations demonstrate that the proposed particle filter based approach outperforms EKF in terms of MSE.