[SciPy-User] leastsq - When to scale covariance matrix by reduced chi square for confidence interval estimation
Fri Jun 1 04:21:53 CDT 2012
Thanks for the fast reply.
If you have knowledge about the statistical errors of your data, then
> skipping step 2 and 3 is the recommended, and you can use the chi square to
> assess the validity of the fit and your assumptions about the errors. On
> the other hand, if you have insufficient knowledge about the errors, you
> can use the reduced chi square as an estimate for the variance of your data
> (at least under the assumption that the error is the same for all data
> points). This is the idea behind steps 2 and 3.
I just want to get that straight: So basically in the case where I either
don't have errors, or I don't trust them, multiplying the covariance by the
reduced chi square amounts to "normalizing" the covariance such that the
fit would have a chi square of one (?). Maybe your point could go into the
docs for curve_fit... or there could be a comment about standard procedure
a bit like in origin (
> > Now in the particular problem I am working at, we have a couple of fits
> like  and some of them have a slightly worse reduced chi square of say
> about 1.4 or 0.7. At this point the two methods start to deviate and I am
> wondering which would be the correct way of quoting the errors estimated
> from the fit. Even a basic reference to some text book that explains the
> method used in scipy would be very helpful.
> I didn't look at your data, but I guess that these values of the reduced
> chi square are still in range such that they are not a significant
> deviation from the expected value of one. The chi-squared distribution is
> rather broad. So I would omit steps 2 and 3. Only if you have good reasons
> not to trust your assumptions about the errors of the data, then apply
> steps 2 and 3.
We looked at which part of the CDF these values are and they are still ok.
And our errors are all inferred from measurements, so we trust them quite a
bit. We use the fitting described to obtain a particular property of an ion
via spectroscopy... that's also why we want to get our errors on that
property correct :)
In any case, thanks again,
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