Self-driving score filters allow you to estimate simple and complex time-varying parameter models. The package requires only a specification of the loss function. Given the proposed model, a self-driving score filter endows the chosen parameters with observation-driven dynamics.
If you find this package helpful, please include the following citation in your publicaition
@techreport{Zamojski2019,
title = {Self-driving score filters},
author = {Zamojski, M.},
year = {2019}
}