covariance
Determine how the final covariance matrix is computed
Specification
Alias: None
Arguments: INTEGER
Default: 0 (no covariance)
Description
covariance
(NL2SOL’s covreq
) specifies whether and how NL2SOL computes
a final covariance matrix.
The desired covariance approximation:
0 = default = none
1 or -1 ==> \(\sigma^2 H^{-1} J^T J H^{-1}\)
2 or -2 ==> \(\sigma^2 H^{-1}\)
3 or -3 ==> \(\sigma^2 (J^T J)^{-1}\)
Negative values ==> estimate the final Hessian H by finite differences of function values only (using
fd_hessian_step_size
)Positive values ==> differences of gradients (using
fd_hessian_step_size
)