e04ycf returns estimates of elements of the variance-covariance matrix of the estimated regression coefficients for a nonlinear least squares problem. The estimates are derived from the Jacobian of the function at the solution.
The routine may be called by the names e04ycf or nagf_opt_lsq_uncon_covariance.
e04ycf is intended for use when the nonlinear least squares function, , represents the goodness-of-fit of a nonlinear model to observed data. The routine assumes that the Hessian of , at the solution, can be adequately approximated by , where is the Jacobian of at the solution. The estimated variance-covariance matrix is then given by
where is the estimated variance of the residual at the solution, , given by
being the number of observations and the number of variables.
but in this case the argument ifail is returned as nonzero as a warning to you that has linear dependencies in its columns. The assumed rank of can be obtained from ifail.
The routine can be used to find either the diagonal elements of , or the elements of the th column of , or the whole of .
e04ycf must be preceded by one of the nonlinear least squares routines mentioned in Section 1, and requires the arguments fsumsq, s and v to be supplied by those routines (e.g., see e04fcf). fsumsq is the residual sum of squares and s and v contain the singular values and right singular vectors respectively in the singular value decomposition of . s and v are returned directly by the comprehensive routines e04fcf, e04gbf, e04gdfande04hef, but are returned as part of the workspace argument w (from one of the easy-to-use routines e04fyf, e04gyf, e04gzfande04hyf). In the case of e04fyf, s starts at , where
and in the cases of the remaining easy-to-use routines, s starts at , where
The argument v starts immediately following the elements of s, so that v starts at , where
For all the easy-to-use routines the argument ldv must be supplied as n. Thus a call to e04ycf following e04fyf can be illustrated as
Call e04fyf (m, n, lfun1, x, fsumsq, w, lw, iuser, ruser, ifail)
ns = 6*n + 2*m + m*n + 1 + max(1,n*(n-1)/2)
nv = ns + n
Call e04ycf (job, m, n, fsumsq, w(ns), w(nv), n, cj, work, ifail)
where the arguments m, n, fsumsq and the elements must not be altered between the calls to e04fyfande04ycf. The above illustration also holds for a call to e04ycf following a call to one of e04gyf, e04gzfore04hyf, except that must be computed as
Bard Y (1974) Nonlinear Parameter Estimation Academic Press
Wolberg J R (1967) Prediction Analysis Van Nostrand
1: – IntegerInput
On entry: which elements of are returned as follows:
On entry: the number of observations (residuals ).
3: – IntegerInput
On entry: the number of variables .
4: – Real (Kind=nag_wp)Input
On entry: the sum of squares of the residuals, , at the solution , as returned by the nonlinear least squares routine.
5: – Real (Kind=nag_wp) arrayInput
On entry: the singular values of the Jacobian as returned by the nonlinear least squares routine. See Section 3 for information on supplying s following one of the easy-to-use routines.
6: – Real (Kind=nag_wp) arrayInput/Output
On entry: the right-hand orthogonal matrix (the right singular vectors) of as returned by the nonlinear least squares routine. See Section 3 for information on supplying v following one of the easy-to-use routines.
If , the leading part of v is overwritten by the matrix . When e04ycf is called with following an easy-to-use routine this means that is returned, column by column, in the elements of w given by . (See Section 3 for the definition of .)
7: – IntegerInput
On entry: the first dimension of the array v as declared in the (sub)program from which e04ycf is called. When v is passed in the workspace argument w (following one of the easy-to-use least square routines), ldv must be the value n.
8: – Real (Kind=nag_wp) arrayOutput
On exit: if , cj returns the diagonal elements of .
If , cj returns the elements of the th column of .
On entry: ifail must be set to , or to set behaviour on detection of an error; these values have no effect when no error is detected.
A value of causes the printing of an error message and program execution will be halted; otherwise program execution continues. A value of means that an error message is printed while a value of means that it is not.
If halting is not appropriate, the value or is recommended. If message printing is undesirable, then the value is recommended. Otherwise, the value is recommended since useful values can be provided in some output arguments even when on exit. When the value or is used it is essential to test the value of ifail on exit.
On exit: unless the routine detects an error or a warning has been flagged (see Section 6).
6Error Indicators and Warnings
If on entry or , explanatory error messages are output on the current error message unit (as defined by x04aaf).
Errors or warnings detected by the routine:
Note: in some cases e04ycf may return useful information.
On entry, .
On entry, .
On entry, , and .
Constaint: if , .
On entry, and .
On entry, and .
On entry, .
The singular values are all zero, so that at the solution the Jacobian matrix has rank .
At the solution the Jacobian matrix contains linear, or near linear, dependencies amongst its columns. The required elements of have still been computed based upon having an assumed rank . The rank is computed by regarding as zero singular values that are not larger than , where is the machine precision (see x02ajf).
If overflow occurs then either an element of is very large, or the singular values or singular vectors have been incorrectly supplied.
An unexpected error has been triggered by this routine. Please
See Section 7 in the Introduction to the NAG Library FL Interface for further information.
Your licence key may have expired or may not have been installed correctly.
See Section 8 in the Introduction to the NAG Library FL Interface for further information.
Dynamic memory allocation failed.
See Section 9 in the Introduction to the NAG Library FL Interface for further information.
The computed elements of will be the exact covariances corresponding to a closely neighbouring Jacobian matrix .
8Parallelism and Performance
Background information to multithreading can be found in the Multithreading documentation.
e04ycf is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
e04ycf makes calls to BLAS and/or LAPACK routines, which may be threaded within the vendor library used by this implementation. Consult the documentation for the vendor library for further information.
Please consult the X06 Chapter Introduction for information on how to control and interrogate the OpenMP environment used within this routine. Please also consult the Users' Note for your implementation for any additional implementation-specific information.
When the time taken by e04ycf is approximately proportional to . When the time taken by the routine is approximately proportional to .
This example estimates the variance-covariance matrix for the least squares estimates of , and in the model
using the sets of data given in the following table:
The program uses as the initial guess at the position of the minimum and computes the least squares solution using e04fyf. See the routine document e04fyf for further information.