wrappers_hessian: Wrappers for Hessian Functions

In gasmodel: Generalized Autoregressive Score Models

Wrappers for Hessian Functions

Description

Wrappers of common R Hessian functions. Their purpose is to be passed as the hessian_function argument in the gas() function.

Usage

wrapper_hessian_stats(obj_fun, theta_optim, est_details, ...)

wrapper_hessian_pracma(obj_fun, theta_optim, est_details, ...)

wrapper_hessian_numderiv(obj_fun, theta_optim, est_details, ...)

Arguments

obj_fun	An objective function.
theta_optim	A numeric vector of the optimal values of the variables.
est_details	A list of variables used for estimation.
...	Additional arguments to be passed to the Hessian function.

Value

A list with components:

status_hessian	The status of the Hessian computation.
theta_hessian	The Hessian matrix.

Functions

• wrapper_hessian_stats(): Wrapper for Hessian function stats::optimHess().

• wrapper_hessian_pracma(): Wrapper for Hessian function pracma::hessian().

• wrapper_hessian_numderiv(): Wrapper for Hessian function numDeriv::hessian().

See Also

gas() wrappers_optim wrappers_parallel

gasmodel documentation built on Aug. 30, 2023, 1:09 a.m.