Grocer Function
NAME
hessian - finite symmetric difference Hessiann
CALLING SEQUENCE
[result]=hessian(func,pin[,arg1,...argn])
PARAMETERS
Input
-
func = (minus likelihood) function to minimize
-
pin = parameter vector fed to func
-
argi =
-
'maxit=x' to set the maximum # of iterations (default = 500)
-
arguments of function func others that the parameters
Output
-
grocer_H = value of the hessian of namefunc at point grocer_p
DESCRIPTION
Computes finite symmetric difference Hessianunc must take the form func(b,varargin) where:
b = parameter vector (k x 1)
varargin = arguments passed to the function
EXAMPLE
chh='hessian(''filter0'',param,'''+func+''',y,x,F)'; vcovt=inv(evstr(chh))
This example, taken from kalman provides the calculation of the variance-covariance matrix of the estimated parameters of a kalman filtering.
AUTHOR
Eric Dubois 2002