scikits.statsmodels.discretemod.MNLogit.hessian

MNLogit.hessian(params)

Multinomial logit Hessian matrix of the log-likelihood

Parameters :

params : array-like

The parameters of the model

Returns :

The Hessian evaluated at `params` :

ight)` equals 1 if j = l and 0

otherwise.

The actual Hessian matrix has J**2 * K x K elements. Our Hessian is reshaped to be square (J*K, J*K) so that the solvers can use it.

This implementation does not take advantage of the symmetry of the Hessian and could probably be refactored for speed.

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