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TitleMonte Carlo uncertainty calculations with small-sample estimates of complex quantities
Publication TypeJournal Article
Year of Publication2006
AuthorsHall, B.D.
Pagination220 - 226
Date Published2006
ISSN00261394 (ISSN)
KeywordsBayesian multivariate t-distributions, Complex quantities, Computational methods, Data processing, Generalized pivotal quantity (GPQ), Monte Carlo methods, Multivariable systems, Sampling, Statistical tests, Uncertain systems, Uncertainty calculations
AbstractThree statistical distributions have been tested as candidates to represent the uncertainty of complex-valued quantities in Monte Carlo measurement uncertainty calculations. Two candidates are Bayesian multivariate t-distributions with 'non-informative' priors. The other is the distribution of a 'generalized pivotal quantity' (GPQ) for a multivariate mean. The best performance observed was from the GPQ: the two multivariate t-distributions were unsatisfactory in terms of coverage. The testing methodology is general and can be used to check the validity of other uncertainty calculation procedures. © 2006 BIPM and IOP Publishing Ltd.

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