Sample size effects in multivariate fitting of correlated data
High Energy Physics - Lattice
2008-08-27 v2 Methodology
Abstract
A common problem in analysis of experiments or in lattice QCD simulations is fitting a parameterized model to the average over a number of samples of correlated data values. If the number of samples is not infinite, estimates of the variance of the parameters ("error bars") and of the goodness of fit are affected. We illustrate these problems with numerical simulations, and calculate approximate corrections to the variance of the parameters for estimates made in the standard way from derivatives of the parameters' probability distribution as well as from jackknife and bootstrap estimates.
Cite
@article{arxiv.0808.2211,
title = {Sample size effects in multivariate fitting of correlated data},
author = {D. Toussaint and W. Freeman},
journal= {arXiv preprint arXiv:0808.2211},
year = {2008}
}
Comments
Added calculation of parameter variance for bootstrap with remade covariance matrices