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coloredICA (version 1.0.0)

hess: Hessian

Description

This function evaluates the Hessian matrix of the objective function for the spectral density local maximum likelihood estimator.

Usage

hess(x, omega, l_period, n, freq, h)

Arguments

x
Current estimate
omega
Frequency at which the spectral density estimate is evaluated.
l_period
Vector of length n with the log-periodogram evaluations at the n Fourier frequencies.
n
Number of points in the analyzed lattice.
freq
n $\times$ 2 matrix with the n Fourier frequencies.
h
Kernel bandwidth.

Value

It returns a $3 \times 3$ Hessian matrix.

Details

In scICA function the maximization for the spectral density local maximum likelihood estimator is obtained through the Newton-Raphson algorithm. This function returns the Hessian matrix needed in the optimization method. See locmulti for further details.

See Also

scICA, locmulti, kern.