1. 01 Mar, 2017 1 commit
  2. 24 Feb, 2017 1 commit
  3. 10 Feb, 2017 1 commit
  4. 09 Feb, 2017 3 commits
  5. 08 Feb, 2017 1 commit
    • Stéphane Adjemian's avatar
      Removed penalty_hessian routine. · 3c79e231
      Stéphane Adjemian authored
       + Code factorization.
       + Added an option for using the penalized objective when computing numerically
       the hessian at the mode.
      
      Previous behaviour (introduced with penalty_hessian routine) was to compute the
      hessian matrix at the mode with the penalized objective function (instead of
      the original objective function). This behaviour hides problematic situations,
      where the computed hessian (using the original objective) would not be full
      rank. For instance, if the estimation ends up with a parameter on (or very
      close to) the bounds of its possible values (which is often not a desirable
      outcome), the estimated posterior variance would be zero for this
      parameter (with the original objective) because the hessian is not finite in
      this direction, while the posterior variance would be positive if the penalized
      objective is used instead. But this estimate would not be reliable by
      construction of the penalty which is quite ad-hoc (more fundamentally I do not
      think that there exists any rational for approximating the covariance matrix
      with the inverse of the hessian matrix if the mode is on the border of the set
      of possible values).
      
      This commit restore the behaviour previous to 2446ab02ba4b3ed88c9c5021aced076078d96007.
      
      An option is available for computing the hessian with the penalized
      objective function.
      3c79e231
  6. 31 Jan, 2017 1 commit
  7. 27 Jan, 2017 5 commits
  8. 20 Jan, 2017 1 commit
    • Stéphane Adjemian's avatar
      Fixed bug. · 10b6a794
      Stéphane Adjemian authored
      NO_POSTERIOR_KERNEL_DENSITY option was not modifying the expected field in
      options_, consequently this option was no honored.
      10b6a794
  9. 05 Jan, 2017 3 commits
  10. 02 Jan, 2017 2 commits
  11. 30 Dec, 2016 2 commits
  12. 28 Dec, 2016 1 commit
  13. 27 Dec, 2016 1 commit
  14. 26 Dec, 2016 2 commits
  15. 19 Dec, 2016 1 commit
  16. 18 Dec, 2016 2 commits
  17. 17 Dec, 2016 3 commits
  18. 13 Dec, 2016 2 commits
  19. 01 Dec, 2016 1 commit
  20. 29 Nov, 2016 3 commits
  21. 14 Nov, 2016 1 commit
  22. 13 Nov, 2016 1 commit
  23. 04 Nov, 2016 1 commit