statsmodels.tsa.statespace.dynamic_factor_mq.DynamicFactorMQ.transform_jacobian¶
-
DynamicFactorMQ.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
- jacobian
ndarray Jacobian matrix of the transformation, evaluated at unconstrained
- jacobian
See also
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).