Error estimation and reduction with cross correlations

Details Error estimation and reduction with cross correlations Error estimation and reduction with cross correlations

2010-02-24

arxiv.org/abs/1002.4517v2

Phys. Rev. E 81, 066701 (2010)

Physics

Condensed Matter

Statistical Mechanics

16 pages, RevTEX4, 4 figures, 6 tables, published version

Scientific paper

10.1103/PhysRevE.81.066701

Besides the well-known effect of autocorrelations in time series of Monte Carlo simulation data resulting from the underlying Markov process, using the same data pool for computing various estimates entails additional cross correlations. This effect, if not properly taken into account, leads to systematically wrong error estimates for combined quantities. Using a straightforward recipe of data analysis employing the jackknife or similar resampling techniques, such problems can be avoided. In addition, a covariance analysis allows for the formulation of optimal estimators with often significantly reduced variance as compared to more conventional averages.

Affiliated with

Also associated with

No associations

Rating

Error estimation and reduction with cross correlations does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Error estimation and reduction with cross correlations, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Error estimation and reduction with cross correlations will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-260604