Ellipse Representing the Confidence Region of a Covariance Matrix

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This Demonstration shows the confidence region defined by a covariance matrix. The equation of the contour of the region is given by , where
is the best-fit vector and
is the covariance matrix. The parameter
is the large data sample limit corresponding to a coverage probability and characterizes the confidence level (e.g.
in the 2D case and 68.3% CL). The dashed blue line represents the direction of the parameters correlation.
Contributed by: A. V. Pimikov ( {MonthName, Year, Day})
Open content licensed under CC BY-NC-SA
Snapshots
Details
References
[1] G. D. Cowan, Statistical Data Analysis, New York: Oxford University Press, 1998.
[2] R. J. Barlow, Statistics: A Guide to the Use of Statistical Methods in the Physical Sciences, New York: John Wiley, 1989.
Permanent Citation
"Ellipse Representing the Confidence Region of a Covariance Matrix"
http://demonstrations.wolfram.com/EllipseRepresentingTheConfidenceRegionOfACovarianceMatrix/
Wolfram Demonstrations Project
Published: Part[DateValue[, {MonthName, Year, Day}], 3] {MonthName, Year, Day}