statsmodels.regression.recursive_ls.RecursiveLS.transform_jacobian

RecursiveLS.transform_jacobian(unconstrained, approx_centered=False)

Jacobian matrix for the parameter transformation function

Parameters:unconstrained (array_like) – Array of unconstrained parameters used by the optimizer. Returns:jacobian – Jacobian matrix of the transformation, evaluated at unconstrained Return type:array

Notes

This is a numerical approximation using finite differences. Note that in general complex step methods cannot be used because it is not guaranteed that the transform_params method is a real function (e.g. if Cholesky decomposition is used).

See also

transform_params