curve fitting with errors

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Jan Strube

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Dec 26, 2015, 1:18:02 AM12/26/15
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Hi list,

I'm looking for some curve fitting tools. In High Energy Physics, we're using the MINUIT library for pretty much everything.

One nice feature is that it calculates errors on the fitted distribution parameters per default.
It does that by changing the parameters such that the likelihood value changes by 0.5 (or a chi2 value by 1, if you use least squares minimization).

Is there something like that in Julia?
I'm seeing fit_mle in Distributions.jl, but that doesn't seem to compute the error on the parameters.
How do people here compute the uncertainties on those parameters?


Andreas Noack

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Dec 28, 2015, 7:52:08 AM12/28/15
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Hi Jan

I think the short answer is no. I've tried to take a look at the links and it appears to me that the use of statistics in MINUIT is bit different from what the main contributors to Distributions.jl have had in mind. The usual uncertainty measure for maximum likelihood estimation is the inverse of the Hessian of the log-likelihood at the optimum, so I'm not sure what the reasoning for MINUIT's choice is.

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Jan Strube

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Dec 28, 2015, 3:10:11 PM12/28/15
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Thank you for the explanation.
How can I compute the inverse of the Hessian of the log-likelihood with Distributions.jl and friends?

cdm

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Dec 28, 2015, 6:03:03 PM12/28/15
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you may find some of the tools from the Optim.jl package helpful:




and julia's facilities with calling out to other languages has the
potential for continuing to leverage MINUIT, if necessary:



~ cdm

cdm

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Dec 29, 2015, 1:24:48 PM12/29/15
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i was remiss in failing to include a link to the LsqFit.jl package:



which might also be helpful.

Jan Strube

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Dec 30, 2015, 8:58:28 PM12/30/15
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Thank you. I'll review those packages.
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