statsmodels.tsa.statespace.mlemodel.MLEModel.hessian

MLEModel.hessian(params, *args, **kwargs) [source]

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

Parameters:	params (array_like) – Array of parameters at which to evaluate the hessian. args – Additional positional arguments to the loglike method. kwargs – Additional keyword arguments to the loglike method.
Returns:	hessian – Hessian matrix evaluated at params
Return type:	array

Notes

This is a numerical approximation.

Both *args and **kwargs are necessary because the optimizer from fit must call this function and only supports passing arguments via *args (for example scipy.optimize.fmin_l_bfgs).