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Walter Bich
1981 Istituzione del WG3 sulle incertezze nell’ISO TAG4: BIPM, IEC, IFCC,
ISO, IUPAC, IUPAP, OIML
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Joint Committee for Guides in Metrology
Presidenza attuale: il direttore del BIPM
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Documenti pubblicati
http://www.bipm.org/en/publications/guides/gum.html
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Documents in preparazione
(Bich, Cox, Harris, Metrologia, 2006)
2.26 (3.9)
measurement uncertainty
uncertainty of measurement
uncertainty
non-negative parameter characterizing the dispersion of the quantity values being
attributed to a measurand, based on the information used
2.3 (2.6)
measurand
quantity intended to be measured
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La GUM e i suoi Supplementi
Formulazione del problema
Y f X 1 , X 2 , . . ., X N
O, in termini matriciali
Y f X
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ATTENZIONE!!
Lo stesso simbolo maiuscolo è usato per due (nella GUM) o tre (nei
Supplementi) concetti distinti.
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The GUM Method
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You “propagate” xi by using the model
y f x1 , x2 , . . ., x N
and u (xi) by using a first-order Taylor expansion of the model about E(X)
N
Y
Y f E X X i E X i
i 1 X i X EX
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From which, by re-arranging terms, squaring and taking expectations, you have
N
Y Y
V Y Cov X i , X j
i , j 1 X i X j
X i ,X j E X i ,X j
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V Y J XV X J T
X
where
JX Y ,...., Y
X X
1 N
and
V X i , j Cov X i , X j
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Comments I
This is a first-order approximation, good under the weak condition that the
non-linearity of f be negligible compared to the magnitude of the uncertainties.
E f X f E X
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Comments II
In real world:
Derivatives can be difficult (complicated models), and, more important
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Further compromise …
You take:
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…and further constraint
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Comments III:
The GUM is frequentist
In terms of PDFs:
Type A: you estimate parameters of a supposed (Gaussian?) frequency
distribution characterizing the “population” of “indications” (VIM3 term for
the old “observations”). Therefore you have s instead of , with = n-1
degrees of freedom – Classical, frequentist view of probability
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Comments IV:
The GUM is Bayesian
In terms of PDFs:
Type B: you assign a PDF describing your knowledge about a quantity value not
obtained from a sample of indications - Subjective view of probability
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No trouble …
…as far as the quantity of interest is standard uncertainty u(y)
Unfortunately….
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Expanded uncertainty
In many cases (typically end users) one needs Up(y), where p is a prescribed
coverage probability.
In these cases, more knowledge is necessary than simply first (xi) and
second (u2(xi)) moments of Xi, namely
The pdf of Y
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Troubles arise…
The Central Limit Theorem helps, under rather strong conditions (GUM, G.2).
If the conditions are met (GUM optimistic, JCGM-WG1 much less), then
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Troubles grow up …
…the random variable
y Y u y
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The Welch-Satterthwaite formula
u 4 y
eff 4
Y
n
u x
iX i
i 1 i
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And gather bigger and bigger…
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Consequences
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Confidence intervals
and
intervals of confidence (!)
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Problems with effective dof
We do not…
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Further limitations
If the conditions of applicability of the Central Limit Theorem are not met:
(Little guidance is given in the GUM, only for a particular case -dominant
uniform)
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The approach of Supplement 1
Instead of propagating only first and second moments of the input quantities
Xi, their pdfs are propagated through the model.
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Assignment of input pdfs
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Assignment of input pdfs
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Problem
Given the joint pdf of the N input quantities X, find the pdf of the output
quantity y.
gY ... g X f d N ...d1
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Solutions
Analytical: A closed-form solution can be found only in the most simple (and
therefore uninteresting) cases. In general, the integrals involved in this
solution must be solved numerically. Not viable.
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Supplement 1 approach: MCM
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Output of MCM
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The method in a nutshell
From each input pdf draw at random a value xi for the random variable Xi.
Use the resulting vector xr (r = 1,…M) to evaluate the model, thus obtaining a
corresponding value yr. The latter is a possible value for the measurand Y.
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Representations of the
probability distribution for y
Discrete (G):
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Representations of the
probability distribution for y
~
Continuous: GY
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Representations of the pdf for y
Assemble the (M) yr values into a histogram with suitable cell widths
(subjective!) and normalize to one.
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Coverage interval(s)
The novelty with respect to the GUM is that, since the pdf is usually
asymmetric, there is more than one coverage interval (for a given coverage
probability p)
Probabilistically symmetric 1 p 2
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A comparison
of the two approaches
The Monte Carlo approach works in a broader class of problems than the
GUM approach. In this sense, it is more general, therefore
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An example
(from Supplement 1)
The best estimate (as the expectation of the numerical approximation for the
output distribution) does not necessarily coincide with that provided by the
GUM.
Also the standard uncertainties do not coincide. The GUM value may be
smaller. This is a consequence of the pdf recommended for sampled data
(Student).
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A comparison of the two
approaches (continued)
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Internal (in)consistency
of the GUM
Reason(s):
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(In)consistency between the GUM
and Supplement 1 (its first creature…)
standard uncertainty:
is uncertain with the GUM,
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Remedy
n 1
u xi GUM2 u xi GUM1
n 3
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To go back to reality
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Or, if you prefer:
the only statistics you can trust are those you manipulated yourself
(Churchill)
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