statsmodels.tools.numdiff.approx_hess_cs(x, f, epsilon=
Calculate Hessian with complex-step derivative approximation
value at which function derivative is evaluated
function of one array f(x)
stepsize, if None, then stepsize is automatically chosen
array of partial second derivatives, Hessian
based on equation 10 in M. S. RIDOUT: Statistical Applications of the Complex-step Method of Numerical Differentiation, University of Kent, Canterbury, Kent, U.K.
The stepsize is the same for the complex and the finite difference part.
Last update: May 17, 2023