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Re: confidence region
From: |
Henry F. Mollet |
Subject: |
Re: confidence region |
Date: |
Mon, 20 Feb 2006 19:31:33 -0800 |
User-agent: |
Microsoft-Entourage/11.1.0.040913 |
Check section 'set return value' in 'leasqr.m to find the definition of Z: Y
Z = (m-n) * jac' * Qinv * jac / n * resid' * Qinv * resid).
(jac is the Jacobian)
In linear case this translates to according to my annotations without
guarantee and using p for n, n for m, X for jac, and X'*X for jtgjinv)
Z = (n-p) /(p resid' * resid) * X'*X = 1/(p * MSE) * (X'*X).
My annotations also give
Z = 1/ (p MSE^2) * acovp (alternate covariance matrix of parameters).
Therefore Z-matrix is related to the reciprocal of the alternate covariance
matrix.
It's best to try an example and I'll check if I can still do it.
Henry
on 2/17/06 4:43 AM, Janssens Job at address@hidden wrote:
> Hello
>
> I am a student using leasqr.m for data fitting, but I am having trouble
> interpreting the matrix Z, which is described as "the matrix that
> defines the confidence interval". What does this exactly mean, and what
> do I have to do to know the uncertainties on my parameters?
>
> Kind regards,
> Job Janssens.
>
>
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- confidence region, Janssens Job, 2006/02/17
- Re: confidence region,
Henry F. Mollet <=