statsmodels.tsa.statespace.mlemodel.MLEModel.opg_information_matrix#
- MLEModel.opg_information_matrix(params, transformed=True, includes_fixed=False, approx_complex_step=None, **kwargs)[source]#
Outer product of gradients information matrix
- Parameters:
- paramsarray_like,
optional Array of parameters at which to evaluate the loglikelihood function.
- transformedbool,
optional Whether or not params is already transformed. Default is True.
- includes_fixedbool,
optional If parameters were previously fixed with the fix_params method, this argument describes whether or not params also includes the fixed parameters, in addition to the free parameters. Default is False.
- approx_complex_stepbool,
optional Whether or not to approximate the derivatives of the loglikelihood using complex step differentiation. Default is True if transformed is True.
- **kwargs
Additional arguments to the loglikeobs method.
- paramsarray_like,
References
Berndt, Ernst R., Bronwyn Hall, Robert Hall, and Jerry Hausman. 1974. Estimation and Inference in Nonlinear Structural Models. NBER Chapters. National Bureau of Economic Research, Inc.