[SciPy-User] Covariance matrix from curve_fit

Thomas Robitaille thomas.robitaille@gmail....
Sun Jun 16 14:33:59 CDT 2013


Hi Tom,

On 16 June 2013 12:57, Aldcroft, Thomas <aldcroft@head.cfa.harvard.edu> wrote:
>
>
>
> On Sun, Jun 16, 2013 at 3:24 AM, Thomas Robitaille
> <thomas.robitaille@gmail.com> wrote:
>>
>> Hi everyone,
>>
>> I have a question regarding the output from the
>> scipy.optimize.curve_fit function - in the following example:
>>
>> """
>>     In [1]: import numpy as np
>>
>>     In [2]: from scipy.optimize import curve_fit
>>
>>     In [3]: f = lambda x, a, b: a * x + b
>>
>>     In [4]: x = np.array([0., 1., 2.])
>>
>>     In [5]: y = np.array([1.2, 4.6, 7.8])
>>
>>     In [6]: e = np.array([1., 1., 1.])
>>
>>     In [7]: curve_fit(f, x, y, sigma=e)
>>     Out[7]:
>>     (array([ 3.3       ,  1.23333333]),
>>      array([[ 0.00333333, -0.00333333],
>>            [-0.00333333,  0.00555556]]))
>>
>>     In [8]: curve_fit(f, x, y, sigma=e * 100)
>>     Out[8]:
>>     (array([ 3.3       ,  1.23333333]),
>>      array([[ 0.00333333, -0.00333333],
>>            [-0.00333333,  0.00555556]]))
>> """
>>
>> it's clear that the covariance matrix does not take into account the
>> uncertainties on the data points. If I do:
>>
>> """
>> popt, pcov = curve_fit(...)
>> """
>>
>> Then pcov[0,0]**0.5 is therefore not the uncertainty on the parameter,
>> so I was wondering how this should be scaled to give the actual
>> uncertainty on the parameter?
>
>
> There was a long discussion by email and then github on this:
>
> http://mail.scipy.org/pipermail/scipy-user/2011-August/030412.html
> https://github.com/scipy/scipy/pull/448

Thanks for pointing me to this discussion and pull request - I think
this pull request should be finalized, and most importantly, the
documentation of curve_fit improved - at the moment, the name
``sigma`` implies that the uncertainties are 1-sigma normal
deviations, which to me (and a number of other Python users I know)
implies that the covariance matrix takes this into account in the
parameter uncertainties. I understand that the new (lack of) scaling
will have to be optional for backward-compatibility reasons, but it's
unfortunate given the connotations a variable like ``sigma`` has...

Cheers,
Tom


>
> The open pull request has the code to do the scaling you want.
>
> - Tom
>
>>
>>
>> Thanks!
>> Tom
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>
>
>
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