Hi,
attached to MATH-784 (https://issues.apache.org/jira/browse/MATH-784)
is a Monte-Carlo simulation which might be used to explore this issue.
For the time being, it confirms that
* guessParametersErrors() indeed estimates the sd on the parameters,
* the sqrt of the diagonal coefficients of the covariance matrix also
provide a good estimate of these standard deviations, and also the 68%
confidence interval (as announced in Numerical Recipes, 15.6).
Although these values are very close, I do think they do not really
have the same mathematical meaning.
What remains to be explored
* use observations which are not normally distributed (e.g. Poisson?),
* use smaller sets of observations, which should emphasize the
difference between guessParametersErrors() and the sqrt of the
diagonal coefficients.
Will do that later.
Sébastien
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