statsmodels.tsa.statespace.structural.UnobservedComponents.transform_jacobian

UnobservedComponents.transform_jacobian(unconstrained, approx_centered=False)

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).

See also

transform_params

© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.tsa.statespace.structural.UnobservedComponents.transform_jacobian.html