statsmodels.regression.linear_model.GLS.hessian_factor

GLS.hessian_factor(params, scale=None, observed=True)[source]

Weights for calculating Hessian

Parameters:
  • params (ndarray) – parameter at which Hessian is evaluated
  • scale (None or float) – If scale is None, then the default scale will be calculated. Default scale is defined by self.scaletype and set in fit. If scale is not None, then it is used as a fixed scale.
  • observed (bool) – If True, then the observed Hessian is returned. If false then the expected information matrix is returned.
Returns:

hessian_factor – A 1d weight vector used in the calculation of the Hessian. The hessian is obtained by (exog.T * hessian_factor).dot(exog)
Return type:

ndarray, 1d