[scilab-Users] covariance matrix and leastsq

[Eric Dubois]

Hi.

In my package Grocer (available trough Atoms or on my web site :
http://dubois.ensae.net/grocer.html), wirtten with Emmanuel Michaux, you
will find among other things a function ols that provide standard errors of
coefficients as well as the covaraince matrix of the coefficients.

Eric.

2010/4/26 Antoine Monmayrant <antoine.monmayrant at laas.fr>

> Hi everyone,
>
> I am using leastsq to fit some experimental data with different kind of
> model functions.
> In order to properly analyse the result of these fits, I would like to get
> an estimate of the standard error on each parameter (or an interval of
> confidence at 95%).
> So far, the only way I found to retrieve the interval of confidence is to
> do bootstrapping but it requires repeating the fitting procedure ~ 100
> times.
> I am looking for a less computer-intensive solution.
> As far as I understood, leastsq is using minpack to implement the
> Levenberg-Marquardt algorithm.
> Is there a way to get access to the covariance matrix with leastsq, optim
> or any other scilab routine?
> This would be way faster and easier than bootstrapping.
>
> Thanks in advance for your help,
>
> Antoine
>
>
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