Implicit score-driven updates preserve the full observation density to deliver global stability and mean-squared-error contraction toward the pseudo-true parameter for log-concave densities in time-varying parameter models.
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Implicit score-driven filters for time-varying parameter models
Implicit score-driven updates preserve the full observation density to deliver global stability and mean-squared-error contraction toward the pseudo-true parameter for log-concave densities in time-varying parameter models.