statsmodels.tsa.statespace.sarimax.SARIMAX.transform_jacobian¶
-
SARIMAX.transform_jacobian(unconstrained, approx_centered=
False
)¶ Jacobian matrix for the parameter transformation function
- Parameters:¶
- unconstrainedarray_like
Array of unconstrained parameters used by the optimizer.
- Returns:¶
- jacobian
ndarray
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).
Last update:
Oct 29, 2024