statsmodels.tsa.exponential_smoothing.ets.ETSModel.hessian¶

ETSModel.hessian(params, approx_centered=False, approx_complex_step=True, **kwargs)[source]¶

Hessian matrix of the likelihood function, evaluated at the given parameters

Parameters:¶

params : array_like¶

Array of parameters at which to evaluate the hessian.

approx_centered : bool¶

Whether to use a centered scheme for finite difference approximation

approx_complex_step : bool¶

Whether to use complex step differentiation for approximation

Returns:¶

hessian – Hessian matrix evaluated at params

Return type:¶

ndarray

Notes

This is a numerical approximation.