Creal, Drew; Koopman, Siem Jan; Lucas, Andre - Institute of Economic Research, Hitotsubashi University - 2009
framework for introducing time-varying parameters in a wide class of non-linear models. The GAS model encompasses other well … of new observation driven models. Examples include non-linear regression models with time-varying parameters, observation … driven analogues of unobserved components time series models, multivariate point process models with time-varying parameters …