32 citations · 73 across the 6 of their papers we have counts for
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math.ST2024★ 1 cited
Expected Kullback-Leibler-based characterizations of score-driven updates
Ramon de Punder, Timo Dimitriadis, Rutger-Jan Lange
Score-driven (SD) models are a standard tool in statistics and econometrics, with applications in hundreds of published articles in the past decade. We provide an information-theor…
stat.ME2024★ 1 cited
Short and simple introduction to Bellman filtering and smoothing
Rutger-Jan Lange
Based on Bellman's dynamic-programming principle, Lange (2024) presents an approximate method for filtering, smoothing and parameter estimation for possibly non-linear and/or non-G…