- GLSAR.hessian_factor(params, scale=None, observed=True)¶
Compute weights for calculating Hessian.
The parameter at which Hessian is evaluated.
If scale is None, then the default scale will be calculated. Default scale is defined by self.scaletype and set in fit. If scale is not None, then it is used as a fixed scale.
If True, then the observed Hessian is returned. If false then the expected information matrix is returned.
A 1d weight vector used in the calculation of the Hessian. The hessian is obtained by (exog.T * hessian_factor).dot(exog).