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 --------------------------------------------------------------------- To unsubscribe, e-mail: dev-unsubscr...@commons.apache.org For additional commands, e-mail: dev-h...@commons.apache.org
