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### Statistical overview

The theory of non-linear least-squares (NLLS) is generally described in terms of a normal distribution of errors, that is, the input data is assumed to be a sample from a population having a given mean and a Gaussian (normal) distribution about the mean with a given standard deviation. For a sample of sufficiently large size, and knowing the population standard deviation, one can use the statistics of the chisquare distribution to describe a "goodness of fit" by looking at the variable often called "chisquare". Here, it is sufficient to say that a reduced chisquare (chisquare/degrees of freedom, where degrees of freedom is the number of datapoints less the number of parameters being fitted) of 1.0 is an indication that the weighted sum of squared deviations between the fitted function and the data points is the same as that expected for a random sample from a population characterized by the function with the current value of the parameters and the given standard deviations.

If the standard deviation for the population is not constant, as in counting statistics where variance = counts, then each point should be individually weighted when comparing the observed sum of deviations and the expected sum of deviations.

At the conclusion fit reports 'stdfit', the standard deviation of the fit, which is the rms of the residuals, and the variance of the residuals, also called 'reduced chisquare' when the data points are weighted. The number of degrees of freedom (the number of data points minus the number of fitted parameters) is used in these estimates because the parameters used in calculating the residuals of the datapoints were obtained from the same data. These values are exported to the variables

```     FIT_NDF = Number of degrees of freedom
FIT_WSSR = Weighted sum-of-squares residual
FIT_STDFIT = sqrt(WSSR/NDF)
```

To estimate confidence levels for the parameters, one can use the minimum chisquare obtained from the fit and chisquare statistics to determine the value of chisquare corresponding to the desired confidence level, but considerably more calculation is required to determine the combinations of parameters which produce such values.

Rather than determine confidence intervals, fit reports parameter error estimates which are readily obtained from the variance-covariance matrix after the final iteration. By convention, these estimates are called "standard errors" or "asymptotic standard errors", since they are calculated in the same way as the standard errors (standard deviation of each parameter) of a linear least-squares problem, even though the statistical conditions for designating the quantity calculated to be a standard deviation are not generally valid for the NLLS problem. The asymptotic standard errors are generally over-optimistic and should not be used for determining confidence levels, but are useful for qualitative purposes.

The final solution also produces a correlation matrix, which gives an indication of the correlation of parameters in the region of the solution; if one parameter is changed, increasing chisquare, does changing another compensate? The main diagonal elements, autocorrelation, are all 1; if all parameters were independent, all other elements would be nearly 0. Two variables which completely compensate each other would have an off-diagonal element of unit magnitude, with a sign depending on whether the relation is proportional or inversely proportional. The smaller the magnitudes of the off-diagonal elements, the closer the estimates of the standard deviation of each parameter would be to the asymptotic standard error.

Next: Practical guidelines Up: Error estimates Previous: Error estimates   Contents   Index
Alex T Prengel 2007-03-13