View source: R/numericalDifferentiation.R
get_varying_h | R Documentation |
get_varying_h
adjusts differences for overly large degrees of freedom parameters
for finite difference approximation of the derivatives of the log-likelihood function.
get_varying_h(M, params, model = c("GMVAR", "StMVAR", "G-StMVAR"))
M |
|
params |
a real valued vector specifying the parameter values.
Above, In the GMVAR model, The notation is similar to the cited literature. |
model |
is "GMVAR", "StMVAR", or "G-StMVAR" model considered? In the G-StMVAR model, the first |
This function is used for approximating gradient and Hessian of a StMVAR or G-StMVAR model. Very large degrees of freedom parameters cause significant numerical error if too small differences are used.
Returns a vector with the same length as params
. For other parameters than degrees
of freedom parameters larger than 100, the differences will be 6e-6
. For the large degrees of
freedom parameters, the difference will be signif(df/1000, digits=2)
.
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