Tweedie's Formula, Variance Functions, and Score-Driven Updating (opens in new tab)

Score-driven models update time-varying parameters using conditional likelihood scores. This paper gives a Bayesian interpretation based on Tweedie's formula. In Gaussian signal extraction, Tweedie's formula expresses the posterior correction as a scaled score of the marginal predictive density; in natural exponential families, the corresponding identity includes a base-measure adjustment. For general conditional densities, we show that invers...