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- Function:
*int***gsl_multifit_nlinear_covar***(const gsl_matrix **`J`, const double`epsrel`, gsl_matrix *`covar`) - Function:
*int***gsl_multilarge_nlinear_covar***(gsl_matrix **`covar`, gsl_multilarge_nlinear_workspace *`w`) This function computes the covariance matrix of best-fit parameters using the Jacobian matrix

`J`and stores it in`covar`. The parameter`epsrel`is used to remove linear-dependent columns when`J`is rank deficient.The covariance matrix is given by,

covar = (J^T J)^{-1}

or in the weighted case,

covar = (J^T W J)^{-1}

and is computed using the factored form of the Jacobian (Cholesky, QR, or SVD). Any columns of

*R*which satisfy|R_{kk}| <= epsrel |R_{11}|

are considered linearly-dependent and are excluded from the covariance matrix (the corresponding rows and columns of the covariance matrix are set to zero).

If the minimisation uses the weighted least-squares function

*f_i = (Y(x, t_i) - y_i) / \sigma_i*then the covariance matrix above gives the statistical error on the best-fit parameters resulting from the Gaussian errors*\sigma_i*on the underlying data*y_i*. This can be verified from the relation*\delta f = J \delta c*and the fact that the fluctuations in*f*from the data*y_i*are normalised by*\sigma_i*and so satisfy*<\delta f \delta f^T> = I*.For an unweighted least-squares function

*f_i = (Y(x, t_i) - y_i)*the covariance matrix above should be multiplied by the variance of the residuals about the best-fit*\sigma^2 = \sum (y_i - Y(x,t_i))^2 / (n-p)*to give the variance-covariance matrix*\sigma^2 C*. This estimates the statistical error on the best-fit parameters from the scatter of the underlying data.For more information about covariance matrices see Fitting Overview.