2 papers
stat.ME2026
Gradient-based filtering under misspecification: Stability and error bounds
Simon Donker van Heel, Rutger-Jan Lange, Bram van Os +1
Can stochastic gradient methods track a moving target? We study the problem of tracking multidimensional time-varying parameters under noisy observations and possible model misspec…
stat.ME2026
Implicit score-driven filters for time-varying parameter models
Rutger-Jan Lange, Bram van Os, Dick van Dijk
We propose an observation-driven modeling framework that allows model parameters to vary over time through an implicit score-driven (ISD) update. The ISD update maximizes the logar…