Tuesday, October 4, 2022

The Latest in Observation-Driven TVP Models

Check this out.  The implicit stochastic-gradient update seems very appealing relative to the "standard" GAS/DCS explicit update.

"Robust Observation-Driven Models Using Proximal-Parameter Updates", by Rutger-Jan Lange, Bram van Os, and Dick van Dijk.

https://www.tinbergen.nl/discussion-paper/6188/22-066-iii-robust-observation-driven-models-using-proximal-parameter-updates


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