22-066/III - Implicit score-driven filters for time-varying parameter models

• Authors
  Rutger-Jan Lange, Erasmus University Rotterdam; Bram van Os, Erasmus University Rotterdam; Dick van Dijk, Erasmus University Rotterdam
• Publication date
  September 20, 2022

• Keywords
  Implicit gradient, Proximal-point method, Stochastic-gradient descent, Observation-driven models
• JEL
  C10, C32, C51