statsmodels.discrete.discrete_model.MNLogit.jac

MNLogit.jac(params)

Jacobian matrix for multinomial logit model log-likelihood

Parameters :

params : array

The parameters of the multinomial logit model.

Returns :

jac : ndarray, (nobs, k_vars*(J-1))

The derivative of the loglikelihood for each observation evaluated at params .

Notes

for , for observations

In the multinomial model the score vector is K x (J-1) but is returned as a flattened array. The Jacobian has the observations in rows and the flatteded array of derivatives in columns.