32 citations · 73 across the 6 of their papers we have counts for
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stat.ME2025
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…
stat.ME2025★ 1 cited
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…