statsmodels.regression.recursive_ls.RecursiveLS.hessian

RecursiveLS.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 – Hessian matrix evaluated at params

Return type:

array

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).