It is very interesting,
But this is a somewhat different
question. For gradient and
hessian hansl support is not
needed: all functions are
inside c code: gretl input
are real function
c output is real number
matrix. The question is
the speed.
The script attached
illustrates the preciseness
It does not use {numDeriv}
only R shared library
But it is too slow to
be practical
The Hessian uses the
simplest finite difference
formula
Oleh
5 жовтня 2017, 08:59:28, від "Riccardo (Jack) Lucchetti"
<r.lucchetti(a)univpm.it>:
On Wed, 4 Oct 2017, > oleg_komashko(a)ukr.net wrote:
> To make it fully functional
> it is sufficient to find a c code
> for normal cdf for complex
> argument and basic matrix
> operations for complex arguments.
I'm working on a function package which, among other things, will include
support for complex matrices. If you want, I can send you a pre-release
version.
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti@univpm.ithttp://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
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