VARMAX.hessian(params, *args, **kwargs)
Hessian matrix of the likelihood function, evaluated at the given parameters
Parameters: |
|
---|---|
Returns: |
hessian – Hessian matrix evaluated at |
Return type: |
array |
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.tsa.statespace.varmax.VARMAX.hessian.html