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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, self-driving score filter endows chosen parameters with observation-driven dynamics.
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SelfDrivingFilters.jl

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.

Attribution

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}
}
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