statsmodels.tsa.statespace.mlemodel.MLEModel.hessian

MLEModel.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 : array

Hessian matrix evaluated at params

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).