negHessL: Calculates the negative Hessian of l(x)

In dajmcdon/spasm: Implements the Laplace-Gaussian filter for sparse, additive, state-space models

Description

Calculates the negative Hessian of l(x)

Usage

negHessL(x, prev.state, y, out.spam, HHinv)

Arguments

x	p-vector of current states (to minimize over)
prev.state	list containing mean and variance of \hat{p}(x_{t-1} | y_{t-1}) (as produced by posteriorPredictive
y	d-vector of observations at time t
out.spam	list of fitted splines for the observation equation, as produced by spam
HHinv	inverse of the observation error variance

Details

This function calculates

-l''(x) = - d^2/dx^2 log p(y_{t} | x_{t}) p(x_{t} | y_{1:t-1}).

As the second distribution in the above product is approximated with a Gaussian, the result is also an approximation.

Value

The negative Hessian of the (approximate) l'(x), (pxp matrix). Note that this is the negative of the Hessian of l(x), not -l(x).

dajmcdon/spasm documentation built on May 6, 2019, 1:31 a.m.