# Thread: Calculation of the Standard Error of Parameters in non-linear Regression

1. ## Calculation of the Standard Error of Parameters in non-linear Regression

Hello

Today I recreated an estimation of standard error for a parameter analytically. I compared it with the standard Error traced by Mathematica and it is for two examples quite different.
The two examples were:
$\displaystyle y = x \cdot e^{p}$

$\displaystyle y = x^{p}$

Because of this I recalculated in a program which does the estimation numerically (gnuplot). The traced value is very similar to the one by Mathematica. So my question: Does it Mathematica just numerically?

I used the analytical procedure usual in Newton-Gauss procedure:
$\displaystyle \sigma_{pi} = \sigma_{r} \cdot \sqrt{inv(H)_{i,i}}$
Where H is the Hess matrix

I know this method is just a estimation, but a analytical method should be general better than anything numerical, am I right?

2. ## Re: Calculation of the Standard Error of Parameters in non-linear Regression

Originally Posted by Boojakascha
Hello

Today I recreated an estimation of standard error for a parameter analytically. I compared it with the standard Error traced by Mathematica and it is for two examples quite different.
The two examples were:
$\displaystyle y = x \cdot e^{p}$

$\displaystyle y = x^{p}$

Because of this I recalculated in a program which does the estimation numerically (gnuplot). The traced value is very similar to the one by Mathematica. So my question: Does it Mathematica just numerically?

I used the analytical procedure usual in Newton-Gauss procedure:
$\displaystyle \sigma_{pi} = \sigma_{r} \cdot \sqrt{inv(H)_{i,i}}$
Where H is the Hess matrix

I know this method is just a estimation, but a analytical method should be general better than anything numerical, am I right?
No, depends on the approximation in the analytic method, there will always be cases where a particular approximation falls down. The numerical method will be something like the Jackknife (or if the problem is suitable the Bootstrap) and should be fairly robust.

CB