statsmodels.regression.recursive_ls.RecursiveLS.transform_jacobian¶
- RecursiveLS.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).