statsmodels.tsa.statespace.dynamic_factor.DynamicFactor.transform_jacobian

method

DynamicFactor.transform_jacobian(unconstrained, approx_centered=False)

Jacobian matrix for the parameter transformation function

Parameters

unconstrainedarray_like

Array of unconstrained parameters used by the optimizer.

Returns

jacobianarray

Jacobian matrix of the transformation, evaluated at unconstrained

See also

transform_params

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).