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hessian

finite symmetric difference Hessiann

CALLING SEQUENCE

H=hessian(func,pin[,arg1argn])

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

* H= value of the hessian of namefunc at point grocer_p

DESCRIPTION

Computes finite symmetric difference Hessian. func 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

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