Hessian

Description

This function evaluates the Hessian matrix of the objective function for the spectral density local maximum likelihood estimator.

Usage

1
hess(x, omega, l_period, n, freq, h)

Arguments

x

Current estimate

omega

Frequency at which the spectral density estimate is evaluated.

l_period

Vector of length n with the log-periodogram evaluations at the n Fourier frequencies.

n

Number of points in the analyzed lattice.

freq

n \times 2 matrix with the n Fourier frequencies.

h

Kernel bandwidth.

Details

In scICA function the maximization for the spectral density local maximum likelihood estimator is obtained through the Newton-Raphson algorithm. This function returns the Hessian matrix needed in the optimization method. See locmulti for further details.

Value

It returns a 3 \times 3 Hessian matrix.

Note

It is auxiliary for scICA function.

Author(s)

Lee, S., Shen, H., Truong, Y. and Zanini, P.

See Also

scICA, locmulti, kern.