22-066/III - Robust Observation-Driven Models Using Proximal-Parameter Updates
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AuthorsRutger-Jan Lange, Erasmus University Rotterdam; Bram van Os, Erasmus University Rotterdam; Dick van Dijk, Erasmus University Rotterdam
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Publication dateSeptember 20, 2022
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KeywordsImplicit gradient, Proximal point method, Robust filters, Score-driven methods, Time-varying parameter models
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JELC10, C32, C51