statsmodels.tsa.exponential_smoothing.ets.ETSModel.hessian

ETSModel.hessian(params, approx_centered=False, approx_complex_step=True, **kwargs)

Hessian matrix of the likelihood function, evaluated at the given parameters

Parameters:

paramsarray_like

Array of parameters at which to evaluate the hessian.

approx_centeredbool

Whether to use a centered scheme for finite difference approximation

approx_complex_stepbool

Whether to use complex step differentiation for approximation

Returns:

hessianndarray

Hessian matrix evaluated at params

Notes

This is a numerical approximation.