Kim Christensen

Department of Physics, Imperial College London 15 October 2009

Best Estimate of True Value

Measurements and Errors

Consider n independent (uncorrelated) measurements x1 , x2 , . . . , xn of

Measurements and Errors

an observable x.
The best estimate of the true value of x is the mean value

Three types of errors

1X
x =
xi
n i=1

Random errors
Systematic errors

(1)

Mistakes or Blunders

Best Estimate of Standard Deviation of P (x)dx

Measurements and Errors

sx = n1

1 X
(xi x)2 .
n 1 i=1

68% of measurements x1 , x2 , . . . , xn are within the range x

sx .
95% of measurements x1 , x2 , . . . , xn are within the range x
2sx .

Measurements and Errors

The best estimate of the standard error x on the mean value x

is given by

The best estimate of the standard deviation of P (x)dx is

v
u
u
=t

Best Estimate of Standard Error on x

(2)

sx
= .
n
no. measurements

x =

standard error

(3)

With confidence level of 68%, the true value of x is within the range x
x .

With confidence level of 95%, the true value of x is within the range x
2x .

0.5

With more that one independent measurement, it is x that will determine how

0.4

many significant digits should be quoted in the best estimate for the true value:
0.3

x = 66.7456 . . . m3 ; x = 0.841 . . . m3 x = 66.7 0.8 m3

0.2

x = 5.81234 . . . Hz; x = 0.01489 . . . Hz x = 5.812 0.015 Hz

0.1
0

x
2sx

x
+2sx

Propagation of Standard Error

Measurements and Errors

Propagation & Combinations of Standard Errors

Measurements and Errors

If the quantity z(x, y) you want to estimate is a function of independent

(uncorrelated) observables x and y , then the best estimate of the standard
error in z is z where

If the quantity z(x) you want to estimate is a function of the observable x,

then the best estimate of the standard error in z is

z2

  

 dz
 x .
z = 
dx x=x 

(4)

where x is the standard error in x

.
Example 1:


z(x) = xm 


Example 2: z(x) = ex 

dz

dx x=
x

dz

dx

= m |
x|m1 z = m |
x|m1 x .


 = ex z = ex x .
x=
x

Propagation & Combinations of Standard Errors

z2 =

i=1

z
xi

Measurements and Errors

(6)

where the partial derivative /xi signifies that you take the derivative w.r.t.
xi treating all other variables like constants and xi is the standard error of xi .
z
= 1/
x2 ,
= x1 /x2 + sin x3 x
1
x=
x
 
z
=
x1 /
x22 and x
= cos x3
3

Example 5: z(x1 , x2 , x3 )

z
x2

x=
x

z2 = (1/
x2 )2 x21 +

x=
x
2 2 2
(
x1 /
x2 ) x2 +

(cos x3 )2 x23 .

z
y

2

y2,

(5)

x=
x,y=
y

Example 3: z(x, y)

z
x x=
x,y=
y

=x+y

= 1 and

 
z
y

x=
x,y=
y

=1

z
x x=
x,y=
y

= xy

Propagation & Combinations of Standard Errors

Measurements and Errors

In summary, let us say you have a quantity z(x, y) of two independent

x=
x

x=
x,y=
y

observables x and y with m and n independent measurements, respectively.

How do you find the best estimate of the standard error on z, z?
1. Evaluate the mean values x

x2i ,

x2

 
z
= x
= y and y
x=
x,y=
y

2

2   2
z2 = y2 x2 + x2 y2 zz = xx + yy .

the standard error in z is z where

2

2

where the partial derivative /x signifies that you take the derivative w.r.t. x
treating all other variables like constants and x , y are the standard errors in
x and y, respectively.

Example 4: z(x, y)

= (x1 , x2 , . . . , xn ), then the best estimate of

n 
X

z
x

z2 = x2 + y2.

If the quantity z(x) you want to estimate is a function of n independent

(uncorrelated) observables x

1
m

Pm

2. Evaluate the standard deviations sx

sy =

1
n1

Pn

i=1

(yi y)2 .

3. Evaluate the standard errors x

xi and y =
q
P

i=1

sx

m
i=1

1
m1

and y

1
n

Pn

i=1

yi .

(xi x)2 and

s
y .
n

4. Combine the standard errors using the appropriate formula, in this case,

z2 =

z 2
2
x x=
x,y=
y x

 2
z
y

x=
x,y=
y

y2 and take the square root to find

the standard error on z, z. It is the standard error on z that determines

how many significant digits should be quoted in the best estimate for the
true value of z:

z z for a 68% confidence level.