SARIMAX.transform_jacobian()
statsmodels.tsa.statespace.sarimax.SARIMAX.transform_jacobian
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SARIMAX.transform_jacobian(unconstrained, approx_centered=False)
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Jacobian matrix for the parameter transformation function
Parameters: unconstrained : array_like
Array of unconstrained parameters used by the optimizer.
Returns: jacobian : array
Jacobian matrix of the transformation, evaluated at
unconstrained
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).
© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.tsa.statespace.sarimax.SARIMAX.transform_jacobian.html