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
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).