Undesirable effects of covariance matrix techniques for error analysis

Details Undesirable effects of covariance matrix techniques for error analysis Undesirable effects of covariance matrix techniques for error analysis

1993-05-17

arxiv.org/abs/hep-lat/9305014v3

Phys.Rev. D49 (1994) 6240-6243

Physics

High Energy Physics

High Energy Physics - Lattice

CERN-TH.6892/93 (revised), replaced because of major improvements (finding a test for stability of covariance matrix regressio

Scientific paper

10.1103/PhysRevD.49.6240

Regression with $\chi^2$ constructed from the covariance matrix should not be used for some combinations of covariance matrices and fitting functions. Using the technique for unsuitable combinations can amplify systematic errors. This amplification is uncontrolled, and can produce arbitrarily inaccurate results that might not be ruled out by a $\chi^2$ test. In addition, this technique can give incorrect (artificially small) errors for fit parameters. I give a test for this instability and a more robust (but computationally more intensive) method for fitting correlated data.

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