statsmodels.tsa.arima.model.ARIMA.hessian¶
-
ARIMA.hessian(params, *args, **kwargs)¶ Hessian matrix of the likelihood function, evaluated at the given parameters
- Parameters
- paramsarray_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
array Hessian matrix evaluated at params
- hessian
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).