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statsmodels.tsa.statespace.sarimax.SARIMAX.opg_information_matrix

SARIMAX.opg_information_matrix(params, transformed=True, approx_complex_step=None, **kwargs)

Outer product of gradients information matrix

Parameters:
  • params (array_like, optional) – Array of parameters at which to evaluate the loglikelihood function.
  • **kwargs – Additional arguments to the loglikeobs method.

References

Berndt, Ernst R., Bronwyn Hall, Robert Hall, and Jerry Hausman. 1974. Estimation and Inference in Nonlinear Structural Models. NBER Chapters. National Bureau of Economic Research, Inc.

© 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.tsa.statespace.sarimax.SARIMAX.opg_information_matrix.html