calculating the hessian in a non-Gauss ssf

[James Dartnall <james.dartnall@gmail.com>]

Dear all,

The new routine that calculates the hessian and "vcov" built in to the
Finmetrics 2 function SsfFit is very useful for calculating the
standard errors on hyperparameters in Gaussian state space models.  Is
there any function that anyone knows of that will calculate the
hessian for the hyperparameters on Gaussian states within a
non-Gaussian model such as say a Poisson model but with a Gaussian
local level trend?  Presumably this function would be passed to the
hessian argument in nlminb but I'm not sure.

I'm using S-Plus 7 and Finmetrics 2.

Thanks for any advice
James Dartnall