Drexel dragonThe Math ForumDonate to the Math Forum


Math Forum
 Ask Dr. Math
 Discussions
 Internet Newsletter
 MathTools
 Problems of the Week
 Teacher2Teacher
 Teacher Exchange
 Workshops

Search All of the Math Forum:
Browse our Internet Mathematics Library

Views expressed in these public forums are not endorsed by Drexel University or The Math Forum.


Math Forum » Discussions » Software » comp.soft-sys.matlab

Topic: statistical testing of optimized parameter
Replies: 8   Last Post: May 20, 2012 4:05 PM

Advanced Search
Reply to this Topic Reply to this Topic

Back to Topic List Back to Topic List Jump to Tree View Jump to Tree View   Messages: [ Previous | Next ]
Md. Ikramul Hasan

Posts: 13
Registered: 4/4/12
statistical testing of optimized parameter
Posted: May 17, 2012 5:35 PM
  Click to see the message monospaced in plain text Plain Text   Click to reply to this topic Reply

Hi All,
I have optimized my model?s parameter by minimizing root mean square error (RMSE) using fmincon. Then I have calculated the Hessian matrix using that optimum parameter values and finally I tried to calculate the t-values for testing those optimized parameters.

For Hessian I used John D?Errico?s function (following link)
http://www.mathworks.com/matlabcentral/fileexchange/13490-adaptive-robust-numerical-differentiation
and, t_values = ?parameter./sqrt(diag(inv(hessian)))?
Now, the problem is, the t values are showing unexpected values. I think there is some problem in my procedure.
For calculating ?parameter covariance matrix? I used inverse of the hessian. Is it correct?
Any suggestions would be great!

-Hasan

Point your RSS reader here for a feed of the latest messages in this topic.

[Privacy Policy] [Terms of Use]

© Drexel University 1994-2013. All Rights Reserved.
The Math Forum is a research and educational enterprise of the Drexel University School of Education.