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Time Series MT 2.1
I received the error code “Hessian calculation failed”
My hessian calculation failed. How can I find out why?
The first step in finding out why your hessian calculation failed is to find and store the hessian. You can find instructions on that step here.
Once you have your hessian, you should check the eigenvalues. You can use the GAUSS functions eig() or eigh() for this. If any of the eigenvalues are zero (or zero to machine precision i.e. 1e-15 or so) then your hessian has some linear dependencies. You can alternatively check the rank of the matrix with the rank function.