statsmodels.tsa.statespace.mlemodel.MLEModel.transform_jacobian

MLEModel.transform_jacobian(unconstrained, approx_centered=False) [source]

Jacobian matrix for the parameter transformation function

Parameters:	unconstrained (array_like) – Array of unconstrained parameters used by the optimizer.
Returns:	jacobian – Jacobian matrix of the transformation, evaluated at `unconstrained`
Return type:	array

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).