RecursiveLS.observed_information_matrix(params, transformed=True, approx_complex_step=None, approx_centered=False, **kwargs)
Observed information matrix
This method is from Harvey (1989), which shows that the information matrix only depends on terms from the gradient. This implementation is partially analytic and partially numeric approximation, therefore, because it uses the analytic formula for the information matrix, with numerically computed elements of the gradient.
Harvey, Andrew C. 1990. Forecasting, Structural Time Series Models and the Kalman Filter. Cambridge University Press.
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