[SciPy-user] Re: Eror estimation in leastsq

John J. Lee jjl at pobox.com
Mon Feb 25 13:12:04 CST 2002

On Thu, 21 Feb 2002, Nadav Horesh wrote:
> Trying to be not to religious, I read minpack documentation looking a
> way to implement the Gnuplot's attitude, but I could not understand how
> to get the covariance matrix.

It's the inverse of what the routine calls the Jacobian and NR calls the
Hessian, IIRC.  In my limited experience I've found that models that are
slightly wrong (probably for uninteresting instrumental reasons) the
errors that come out of this are not very useful.  YMMV...

Bootstrapping is appealingly simple, but as NR says, watch out for the
assumptions.  I have a routine (not very general IIRC) that does bootstrap
using the minpack from scipy, if you can put up with the fat package of
mine that it depends on.


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