The identification of gene regulatory networks (GRN) from gene expression time series data is a challenge and open problem in system biology. This paper considers the structure inference of GRN from the incomplete and noisy gene expression data, which is a not well-studied issue for GRN inference. In this paper, the dynamical behavior of the gene expression process is described by a stochastic nonlinear state-space model with unknown noise information. A variational Bayesian (VB) framework are proposed to estimate the parameters and gene expression levels simultaneously. One of the advantages of this method is that it can easily handle the missing observations by generating the prediction values. Considering the sparsity of GRN, the smoothed gene data are modeled by the extreme gradient boosting tree, and the regulatory interactions among genes are identified by the importance scores based on the tree model. The proposed method is tested on the artificial DREAM4 datasets and one real gene expression dataset of yeast. The comparative results show that the proposed method can effectively recover the regulatory interactions of GRN in the presence of missing observations and outperforms the existing methods for GRN identification.