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
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.
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.