Node:Computing the covariance matrix of best fit parameters, Next:Example programs for Nonlinear Least-Squares Fitting, Previous:Minimization Algorithms without Derivatives, Up:Nonlinear Least-Squares Fitting
int gsl_multifit_covar (const gsl_matrix * J, double epsrel, gsl_matrix * covar) | Function |
This function uses the Jacobian matrix J to compute the covariance
matrix of the best-fit parameters, covar. The parameter
epsrel is used to remove linear-dependent columns when J is
rank deficient.
The covariance matrix is given by, and is computed by QR decomposition of J with column-pivoting. Any columns of R which satisfy are considered linearly-dependent and are excluded from the covariance matrix (the corresponding rows and columns of the covariance matrix are set to zero). |