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https://issues.apache.org/jira/browse/MATH-784?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13268901#comment-13268901
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Sébastien Brisard commented on MATH-784:
----------------------------------------
In this
[thread|http://mail-archives.apache.org/mod_mbox/commons-dev/201205.mbox/%3C20120504132409.GZ32074%40dusk.harfang.homelinux.org%3E],
it was agreed to
* deprecate {{guessParametersErrors()}}
* create a new method, namely {{getSigma()}}, which simply returns the square
root of the diagonal coefficients of the covariance matrix. If necessary, the
values previously returned by {{guessParametersErrors()}} can easily be
retrieved from {{getSigma()}} and {{getChiSquare()}}.
The rationale for this decision is copied below from the mailing list
{quote}
Independently of the explanation to be provided by Dimitri, I think that
there are code design arguments in favour of deprecating (and later,
deleting) the "guessParametersErrors" method, as follows.
In the context of the "optimization.general" package, one assumes that a
Jacobian matrix is available. From there, the code in "AbstractLeastSquares"
computes the covariance matrix, from which one can readily extract the
"sigma".
This can be done without computing the chi-square! [While, as you have
probably noticed, the "guessParametersErrors" will not behave nicely if you
don't call "updateResidualsAndCost()" beforehand.]
For the class to be self-consistent, the story can end here: Any additional
utilities can lead to wrong expectations from different types of users (as
we've demonstrated here).
Indeed, confidence intervals refer to additional variables (as Dimitri
wrote: "By how much can a parameter change before the normalized chi2
changes by <some number>?"). Being able to answer those questions also
involves the correlations between the parameters (cf. the plot I've attached
to MATH-784), whereas "guessParametersErrors" does not take them into
account.
{quote}
This was done in {{r1334315}}.
> Javadoc of AbstractLeastSquaresOptimizer.guessParametersErrors() is too vague
> -----------------------------------------------------------------------------
>
> Key: MATH-784
> URL: https://issues.apache.org/jira/browse/MATH-784
> Project: Commons Math
> Issue Type: Improvement
> Affects Versions: 3.0
> Reporter: Sébastien Brisard
> Assignee: Sébastien Brisard
> Labels: javadoc, optimization
> Fix For: 3.1
>
> Attachments: AbstractLeastSquaresOptimizerTestValidation.java,
> OUT.10, OUT.100, RandomStraightLinePointGenerator.java,
> StraightLineProblem.java, SyntheticData.java, SyntheticDataLinear.java,
> montecarlo_params.eps
>
>
> This bug report follows a recent discussion available
> [here|http://mail-archives.apache.org/mod_mbox/commons-dev/201204.mbox/%3C20120418122114.GB32074%40dusk.harfang.homelinux.org%3E].
> It is now recognized that the values returned by {{guessParametersErrors()}}
> are in fact known as (asymptotic) standard errors. The javadoc should be made
> more explicit. Besides, the values returned by this method should be tested.
> The reference datasets from [NIST|http://www.itl.nist.gov/div898/strd/] are
> to be used.
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