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From luc.maison...@free.fr
Subject Re: [math] Standard errors in estimated parameters using LevenbergMarquardtEstimator
Date Wed, 12 Dec 2007 14:09:19 GMT
Selon koshino kazuhiro <koshino@ri.ncvc.go.jp>:

> Hello,
>
> Can I get standard errors in estimated parameters using
> GaussNewtonEstimator or LevenbergMarquardtEstimator?

Yes. All estimators implement the Estimator interface which includes a getRMS
method in addition to the estimate method. You should provide your problem to
the method (because it is your problems which defines both the model, the
parameters and the observations).
If you call it before calling estimate, it will use the initial values of the
parameters, if you call it after having called estimate, it will use the
adjusted values.

Here is what the javadoc says about this method:

   * Get the Root Mean Square value, i.e. the root of the arithmetic
   * mean of the square of all weighted residuals. This is related to the
   * criterion that is minimized by the estimator as follows: if
   * <em>c</em> is the criterion, and <em>n</em> is the number of
   * measurements, then the RMS is <em>sqrt (c/n)</em>.
>
> I think that those values are very important to validate estimated
> parameters.

It may sometimes be misleading. If your problem model is wrong and too
"flexible", and if your observation are bad (measurements errors), then you may
adjust too many parameters and have the bad model really follow the bad
measurements and give you artificially low residuals. Then you may think
everything is perfect which is false. This is about the same kind of problems
knowns as "Gibbs oscillations" for polynomial fitting when you use a too high
degree.

Luc

>
> Is use of classes in java.lang.reflect.* only way to get standard errors?
>
> Kind Regards,
>
> Koshino
>
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