25-006/III - Gradient-based filtering under misspecification: Stability and error bounds

• Authors
  Simon Donker van Heel, Erasmus University Rotterdam; Rutger-Jan Lange, Erasmus University Rotterdam; Bram van Os, Vrije Universiteit Amsterdam; Dick van Dijk, Erasmus University Rotterdam
• Publication date
  February 5, 2025

• Keywords
  Error bounds, Explicit and implicit gradient methods, Filtering, Pseudo-true parameters, Score-driven models, Time-varying parameters
• JEL
  C1, C32, C61