statsmodels.tsa.statespace.mlemodel.MLEModel.transform_jacobian¶
-
MLEModel.
transform_jacobian
(unconstrained, approx_centered=False)[source]¶ Jacobian matrix for the parameter transformation function
- Parameters
- unconstrainedarray_like
Array of unconstrained parameters used by the optimizer.
- Returns
- jacobian
array
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).