Hello everyone,
Could anyone help me to solve the following problem please?
If the inverse of Hessian matrix (W) , which is estimated directly from the optimization package of Chris Sim, is not positive-definite, how can we calculate its square root to make a jump distribution N(mu, W) for random walk MCMC as suggested in the literature please?
Thank you very much,
Best regards,
A
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Inverse of Hessian matrix
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Inverse of Hessian matrix
by anhndm88 » Sun Sep 15, 2013 1:55 am
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Re: Inverse of Hessian matrix
by jpfeifer » Sun Sep 15, 2013 8:13 am
See the discussion in the bottom part here http://www.dynare.org/phpBB3/viewtopic.php?f=1&t=4841. The bottom line: there are numerical ways to deal with this, but this is not recommended as the non-positive definite Hessian usually signals deeper problems.
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