CORRELATION IN UNCERTAINTY OF MEASUREMENT - A DISCUSSION OF STATE OF THE ART TECHNIQUES

Rüdiger Kessel, Raghu N. Kacker

Abstract

The Guide to the expression of uncertainty has been around for 15 years and has been widely adopted by science and industry. Over time more and more complex measurements are evaluated based on these principles. As a consequence the correlation between quantities has become an important issue in the evaluation of measurement uncertainty. In this paper we will give an overview about covariance and correlation and the different state of the art techniques to handle them during the uncertainty evaluation. We will discuss the handling of observations by extending the well known calculus for the degrees of freedom for correlated cases. Next we will discuss the difficulties and limitations in handling correlations with Monte Carlo simulations together with a practical algorithm to ensure that correlation matrixes are positive semi-definite.

Keywords

measurement uncertainty, correlation

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IMEKO-WC-2009-TC21-479.pdf

DOI

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IMEKO TC

TC21 - Mathematical Tools for Measurements

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