Tuesday, 17 January 2012

Confidence Interval For Polynomial Fitting

I'm programming an n-dimensional polynomial fitting function. It uses the basic concept of least squares and a design matrix.



For example, a quadratic fit on 2d data:



This is a row in the design Matrix:



X=(1,x,x2)



And this is the matrix formula I'm using:



(XTX)1(XTY)=Ax2+Bx+C



This is nothing special or complicated.



I'm at the point however where I'd like to introduce confidence intervals. How do I compute the confidence intervals from this regression technique?

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