hessian.TSestModel {curve} | R Documentation |
Calculatate the hessian matrix of a TSmodel at a parameter value.
## S3 method for class 'TSestModel' hessian(func, x=coef(func), method="Richardson", method.args=list(d=0.01, eps=1e-4, r=6, v=2), Shape=TSmodel(func), data=TSdata(func), ...)
func |
a TSestModel object which is used as a function mapping coefficients (parameters) to likelihood. |
x |
The parameter point at which the hessian is calculated. |
method |
string indicating the numerical approximation method. |
method.args |
list with arguments to |
Shape |
a TSmodel in which the parameters should be used. |
data |
TSdata to use in teh evaluation. |
... |
additional arguments passed to |
This function calculates the second derivative of the likelihood for the model at its specified parameter value using given data.
a matrix of second derivative of the likelihood (Fisher Information).
require("dse") data("eg1.DSE.data.diff", package="dse") model <- estVARXls(TSdata( output=outputData(eg1.DSE.data.diff, series=1:2)), max.lag=2) require("numDeriv") hessian(model)