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
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.
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.