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Right now the test for our custom Hessian code checks that the inverse Hessian matches that computed by statsmodels. The inverse Hessian is what we actually use, but the regular Hessian can be quite a bit different between statsmodels and our code, I think due to precision issues. Does the intermediate result matter?
The text was updated successfully, but these errors were encountered:
Right now the test for our custom Hessian code checks that the inverse Hessian matches that computed by statsmodels. The inverse Hessian is what we actually use, but the regular Hessian can be quite a bit different between statsmodels and our code, I think due to precision issues. Does the intermediate result matter?
The text was updated successfully, but these errors were encountered: