Non linear curve fit - parameter accuracy

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Discussion Overview

The discussion revolves around estimating the accuracy of parameters obtained from non-linear curve fitting using methods like Levenberg-Marquardt. Participants explore various approaches to quantify parameter uncertainty, including the use of Jacobian and covariance matrices.

Discussion Character

  • Technical explanation
  • Mathematical reasoning
  • Exploratory

Main Points Raised

  • One participant inquires about standard methods for estimating parameter accuracy in non-linear curve fitting, mentioning the Jacobian and covariance matrices.
  • Another participant suggests calculating the mean squared error by determining the differences between fitted points and actual data points, although this does not directly address parameter accuracy.
  • A different participant references a formula for the standard error of parameters, indicating that it involves the chi-squared statistic and the variance-covariance matrix derived from the Jacobian.
  • One participant expresses that the provided definition of chi-squared does not meet their needs, indicating a potential misunderstanding or misalignment in the discussion.
  • A participant points to a resource in "Numerical Recipes" that discusses non-linear fitting and the uncertainty of estimated parameters, suggesting it may contain relevant information.

Areas of Agreement / Disagreement

Participants do not appear to reach a consensus on the best method for estimating parameter accuracy, with multiple approaches and some confusion evident in the responses.

Contextual Notes

Some participants reference specific mathematical formulations and resources, but there is no agreement on a singular method or clarity on the assumptions underlying these approaches.

Who May Find This Useful

This discussion may be useful for researchers or practitioners involved in data fitting, particularly those interested in the statistical analysis of parameter estimates in non-linear models.

arwelbath
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Hi,
Suppose i fit some data with a curve, using Levenberg-Marquardt (or equivalent). How do I estimate the accuracy of the parameters (by this i mean p plus or minus something). I've read somewhere that its done using the jacobian and covariance matricies I think, but not sure. Anyone know if there's a 'standard' way of doing this?
Cheers
 
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arwelbath said:
Hi,
Suppose i fit some data with a curve, using Levenberg-Marquardt (or equivalent). How do I estimate the accuracy of the parameters (by this i mean p plus or minus something). I've read somewhere that its done using the jacobian and covariance matricies I think, but not sure. Anyone know if there's a 'standard' way of doing this?
Cheers

most usually you determine the difference between each point you fit and the fitted point and you square all these difference and sum them, you then divide this sum by the number of points you have summed and call this "the mean squared error" (tip: google this).
 
arwelbath said:
Hi,
Suppose i fit some data with a curve, using Levenberg-Marquardt (or equivalent). How do I estimate the accuracy of the parameters (by this i mean p plus or minus something). I've read somewhere that its done using the jacobian and covariance matricies I think, but not sure. Anyone know if there's a 'standard' way of doing this?
Cheers

As I read in an old Origin Help, the standard error of the i-th parameter of a given parameter set p is

\sigma_i=\sqrt{\chi^2(\bold{p})C_{ii}}

where C is the variance-covariance matrix. It is calculated from the Jacobian F (F_{i,j}=\partial f(\bold{p},x_j)/\partial p_i) as
\bold{C}=(\bold{F}^{'} \cdot \bold{F})^{-1}

If you understand this, explain me, please! :smile:

ehild
 
Erm. Thanks gerben for the definition of chi squared. Not quite what I was after.
 
The "Numerical recipes in .." books have a discussion of this. You can find the C book online at

http://www.library.cornell.edu/nr/bookcpdf.html

The second half of chapter 15 discusses non-linear fitting and uncertainty of the estimated parameters
 
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