All actors didn't read the script but were given a detailed backstory of their characters and were told to improvise every scene, while Robert Pattinson and Benny Safdie had scripts but were still told to react to the others as well as they could.
The Safdies hired real cops for the mall chase scene. The crew filmed during regular business hours while the mall was open to the public, so reactions in the final cut are genuine, from real customers. Some mall customers even tried to stop the cops from chasing the actors.
After a while, Robert Pattinson's hair started falling out in chunks, due to the many times they bleached it. After dyeing it black first (to make him look more like Benny Safdie who plays his brother), they peroxided it to blonde and had to bleach it back and forth several times until they got all the scenes and the required color. They shot scenes in the bathroom where he actually applies the hair dye in front of the mirror, but the scene didn't make it to the final film because it slowed down the pace of the movie. When shooting wrapped, he shaved it all off, which led to the mugshot photo of him on TV, which was taken a day after shooting wrapped.
According to Josh Safdie: "There was a element of Rob (Pattinson) that was really kind of exposing, that I wanted to bring to this character. His energy - he's almost on the run all the time. He had like this Vietnam War vet quality, like he had been through something very traumatic. He's constantly trying to avoid kind of being seen all the time, which comes from his level of fame. He was like he had PTSD from that Twilight-stardom experience. I remember very specifically location scouting with Rob, we're at an off-the-beaten-path place and people started taking pictures and I saw it on his face, he went into almost war mode in his mind. If you put duck-tape on a cat they think they're up against a wall, he kind of walks like that. He thinks everybody is watching and he has this on-the-run quality to him. Someone who had been walking through life trying not to be seen, always slinking around."
To achieve authencity and not to draw attention to the shoot, film locations weren't locked down from the public. Nobody recognized Robert Pattinson and not a single cell phone picture was taken from pedestrians during the whole shoot. In case they were asked by pedestrians and residents, the crew was told to answer that they were filming for a untitled social work project. They pushed the start of production on purpose to avoid attention. Pattinson also stayed in-character off screen to avoid being recognized. He could go unrecognized to such a degree, that when they shot the scene towards the end in the security guard's apartment block, local residents asked him in the elevator if he was Bradley Cooper's security guard, having heard a movie was being shot starring actor Bradley Cooper.