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statsmodels.regression.recursive_ls.RecursiveLS.hessian

RecursiveLS.hessian(params, *args, **kwargs)

Hessian matrix of the likelihood function, evaluated at the given parameters

Parameters:
  • params (array_like) – Array of parameters at which to evaluate the hessian.
  • args – Additional positional arguments to the loglike method.
  • kwargs – Additional keyword arguments to the loglike method.
Returns:

hessian – Hessian matrix evaluated at params

Return type:

array

Notes

This is a numerical approximation.

Both *args and **kwargs are necessary because the optimizer from fit must call this function and only supports passing arguments via *args (for example scipy.optimize.fmin_l_bfgs).

© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.regression.recursive_ls.RecursiveLS.hessian.html