Compute Observed Information Matrix for DCC(1,1) — dcc11_observed

Compute the observed Fisher information matrix, which is the Hessian of the negative log-likelihood evaluated at the MLE. This is a convenience wrapper around numerical_hessian_richardson().

Usage

dcc11_observed_information(
  params,
  std_resid,
  weights,
  Qbar,
  distribution = "mvn",
  use_reparam = FALSE,
  eps = 1e-05
)

Arguments

params: MLE parameter estimates (alpha, beta) or (psi, phi)
std_resid: T x k matrix of standardized residuals
weights: T-vector of observation weights
Qbar: k x k unconditional covariance matrix
distribution: "mvn" or "mvt"
use_reparam: Logical: parameters in (psi, phi) space?
eps: Step size for numerical differentiation (default 1e-5)

Value

Observed information matrix (positive semi-definite if at MLE)