measurement covariance matrix

symmetric positive semi-definite matrix of dimension N × N associated with an estimate of a real vector quantity of dimension N × 1, containing on its diagonal the squares of the standard uncertainties associated with the respective components of the estimate of the quantity, and, in its off-diagonal positions, the covariances associated with pairs of components of that estimate

References: 

Joint Committee for Guides in Metrology (JCGM/WG 1) 102:2011, Evaluation of measurement data - Supplement 2 to the "Guide to the expression of uncertainty in measurement" - Extension to any number of output quantities, ISO/IEC Guide 98-3:2008/Suppl.2:2011, http://www.bipm.org/utils/common/documents/jcgm/JCGM_102_2011_E.pdf
 

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