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From: | Dmitry Shkirmanov |
Subject: | Re: confidence region and leasqr() |
Date: | Fri, 12 Apr 2013 22:43:10 +0400 |
User-agent: | Mozilla/5.0 (X11; U; Linux x86_64; en-US; rv:1.9.1.16) Gecko/20121215 Icedove/3.0.11 |
It would actually not be correct to use this variance to compute confidence intervals with the normal distribution, since it is not the true variance, but itself a guess.
If i understood correctly the Delta method is a bad approach.May be then somebody can say what approach does the CERN's ROOT package use use to calculate the confidence interval? Here is an example ( http://root.cern.ch/root/html/tutorials/fit/ConfidenceIntervals.C.html ), and here is the sources of GetConfidenceIntervals() function ( http://www.slac.stanford.edu/grp/eg/minos/ROOTSYS/pro/math/minuit/src/TFitter.cxx )
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