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stat.ME2026
Filtering and Smoothing with Score-Driven Models
Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi +1
Score-driven models are, by construction, purely predictive filters. When such models are read as filters for an underlying latent process, rather than as data generating processes…
stat.ME2018
Robust filtering and smoothing via perturbation methods
Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi +1
Using a perturbation technique, we derive a new approximate filtering and smoothing methodology generalizing along different directions several existing approaches to robust filter…