22-066/III - Robust Observation-Driven Models Using Proximal-Parameter Updates


  • 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, Robust filters, Score-driven methods, Time-varying parameter models
  • JEL
    C10, C32, C51