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Confidence region

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One approach is to use a linear approximation to the nonlinear model, which may be a close approximation in the vicinity of the solution, and then apply the analysis for a linear problem to find an approximate confidence region. This may be a reasonable approach if the confidence region is not very
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Confidence regions can be defined for any probability distribution. The experimenter can choose the significance level and the shape of the region, and then the size of the region is determined by the probability distribution. A natural choice is to use as a boundary a set of points with constant
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mean, when one confidence region has been calculated, that there is a 95% probability that the "true" values lie inside the region, since we do not assume any particular probability distribution of the "true" values and we may or may not have other information about where they are likely to lie.
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The confidence region is calculated in such a way that if a set of measurements were repeated many times and a confidence region calculated in the same way on each set of measurements, then a certain percentage of the time (e.g. 95%) the confidence region would include the point representing the
1764:{\displaystyle (\mathbf {b} -{\boldsymbol {\hat {\beta }}})^{\prime }\mathbf {Q} ^{\prime }\mathbf {Q} (\mathbf {b} -{\boldsymbol {\hat {\beta }}})={\frac {p}{n-p}}(\mathbf {Z} ^{\prime }\mathbf {Z} -\mathbf {b} ^{\prime }\mathbf {Q} ^{\prime }\mathbf {Z} )F_{1-\alpha }(p,n-p).} 326: 990: 773: 1332: 167: 1272: 1065:. The lengths of the axes of the ellipsoid are proportional to the reciprocals of the values on the diagonals of the diagonal matrix, and the directions of these axes are given by the rows of the 3rd matrix of the decomposition. 633: 1388: 1532: 459:{\displaystyle ({\boldsymbol {\hat {\beta }}}-\mathbf {b} )^{\operatorname {T} }\mathbf {X} ^{\operatorname {T} }\mathbf {X} ({\boldsymbol {\hat {\beta }}}-\mathbf {b} )\leq ps^{2}F_{1-\alpha }(p,\nu ),} 1485: 1439: 901:{\displaystyle ({\boldsymbol {\hat {\beta }}}-\mathbf {b} )^{\operatorname {T} }\mathbf {C} _{\mathbf {\beta } }^{-1}({\boldsymbol {\hat {\beta }}}-\mathbf {b} )\leq pF_{1-\alpha }(p,\nu ),} 1059: 1019: 528: 1129: 1103: 914: 246: 1161: 1109:(in other words, the errors in the observations are not independently distributed), and/or the standard deviations of the errors are not all equal. Suppose the covariance matrix of 500: 1557: 738: 314: 220: 121: 1195: 567: 285: 1831: 684: 707: 1294: 129: 762: 1222: 575: 1347: 1492: 96: 2018: 1985: 1963: 1209:
representing the covariance of pairs of individual observations, as well as not necessarily having all the diagonal elements equal.
66: 1445: 1399: 1794: 686: 1062: 985:{\displaystyle \mathbf {C} _{\mathbf {\beta } }=s^{2}\left(\mathbf {X} ^{\operatorname {T} }\mathbf {X} \right)^{-1}} 2050: 1844: 1035: 995: 504: 1112: 1086: 229: 1078: 1956: 1950: 1834: 710: 253: 1134: 480: 1856: 1540: 716: 297: 203: 104: 1206: 1967: 1074: 90: 197: 535: 257: 60: 40: 1178: 72:"true" values of the set of variables being estimated. However, unless certain assumptions about 1918: 545: 263: 181: 1809: 2014: 1861: 657: 643: 73: 692: 51:
around a point which is an estimated solution to a problem, although other shapes can occur.
1327:{\displaystyle \mathbf {Y} =\mathbf {X} {\boldsymbol {\beta }}+{\boldsymbol {\varepsilon }}} 162:{\displaystyle \mathbf {Y} =\mathbf {X} {\boldsymbol {\beta }}+{\boldsymbol {\varepsilon }}} 1871: 1866: 1202: 1032:-dimensional Cartesian parameter space R. The centre of the ellipsoid is at the estimate 1267:{\displaystyle \mathbf {P} ^{\prime }\mathbf {P} =\mathbf {P} \mathbf {P} =\mathbf {V} } 2030: 2007: 1779: 747: 647: 2044: 628:{\displaystyle s^{2}={\frac {\varepsilon ^{\operatorname {T} }\varepsilon }{n-p}}.} 1106: 28: 1383:{\displaystyle \mathbf {Z} =\mathbf {Q} {\boldsymbol {\beta }}+\mathbf {f} ,} 1061:. According to Press et al., it is easier to plot the ellipsoid after doing 200:(which can represent a physical model) which is assumed to be known exactly, 17: 1919:
Estimating average growth trajectories in shape-space using kernel smoothing
1025: 741: 48: 36: 1527:{\displaystyle \mathbf {f} =\mathbf {P} ^{-1}{\boldsymbol {\varepsilon }}} 539: 1337:
can then be transformed by left-multiplying each term by the inverse of
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large and the second derivatives of the model are also not very large.
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A joint confidence region for the parameters, i.e. for the elements of
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Press, W.H.; S.A. Teukolsky; W.T. Vetterling; B.P. Flannery (1992) .
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Now consider the more general case where some distinct elements of
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is the number of parameters, i.e. number of elements of the vector
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in the more specific case handled in the previous section, (where
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The case of independent, identically normally-distributed errors
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Multivariate normal distribution § Geometric interpretation
1935: 252:-dimensional column vector of errors which are assumed to be 180:-dimensional column vector containing observed values of the 1708: 1696: 1676: 1609: 1597: 1233: 1480:{\displaystyle \mathbf {Q} =\mathbf {P} ^{-1}\mathbf {X} } 1434:{\displaystyle \mathbf {Z} =\mathbf {P} ^{-1}\mathbf {Y} } 2036:(2nd ed.). Cambridge UK: Cambridge University Press. 260:
with zero mean and each having the same unknown variance
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Numerical Recipes in C: The Art of Scientific Computing
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It is possible to find a nonsingular symmetric matrix
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Confidence interval § Meaning and interpretation
1917:Hutton TJ, Buxton BF, Hammond P, Potts HWW (2003). 2029: 2006: 1825: 1763: 1551: 1526: 1479: 1433: 1382: 1326: 1266: 1189: 1155: 1123: 1097: 1053: 1013: 984: 900: 756: 732: 701: 678: 627: 561: 522: 494: 458: 316:is represented by the set of values of the vector 308: 279: 240: 214: 161: 115: 1636: 1586: 1045: 1005: 992:is the least-squares scaled covariance matrix of 841: 786: 514: 389: 339: 1797:which are the parameters of this distribution. 473:represents any point in the confidence region, 294:) % confidence region for the elements of 2013:(2nd ed.). USA: John Wiley and Sons Ltd. 1559:, is then bounded by the ellipsoid given by: 1054:{\displaystyle {\boldsymbol {\hat {\beta }}}} 1014:{\displaystyle {\boldsymbol {\hat {\beta }}}} 523:{\displaystyle {\boldsymbol {\hat {\beta }}}} 8: 1124:{\displaystyle {\boldsymbol {\varepsilon }}} 1098:{\displaystyle {\boldsymbol {\varepsilon }}} 241:{\displaystyle {\boldsymbol {\varepsilon }}} 47:-dimensional space, often represented as an 530:is the vector of estimated parameters, and 1281:is a square root of the covariance matrix 226:parameters which are to be estimated, and 1986:Learn how and when to remove this message 1817: 1811: 1725: 1713: 1707: 1702: 1695: 1690: 1681: 1675: 1670: 1648: 1631: 1630: 1622: 1614: 1608: 1603: 1596: 1581: 1580: 1572: 1567: 1544: 1542: 1519: 1510: 1505: 1496: 1494: 1472: 1463: 1458: 1449: 1447: 1426: 1417: 1412: 1403: 1401: 1372: 1364: 1359: 1351: 1349: 1319: 1311: 1306: 1298: 1296: 1259: 1251: 1246: 1238: 1232: 1227: 1224: 1182: 1180: 1147: 1138: 1136: 1116: 1114: 1090: 1088: 1040: 1039: 1037: 1000: 999: 997: 973: 963: 957: 952: 939: 925: 924: 919: 916: 868: 850: 836: 835: 823: 817: 816: 811: 804: 795: 781: 780: 775: 749: 724: 718: 694: 659: 599: 592: 583: 577: 553: 547: 509: 508: 506: 484: 482: 426: 416: 398: 384: 383: 375: 369: 364: 357: 348: 334: 333: 328: 301: 299: 271: 265: 233: 231: 207: 205: 154: 146: 141: 133: 131: 123:to the following overdetermined problem: 108: 106: 1949:This article includes a list of general 320:which satisfy the following inequality: 1883: 1778:represents the percentage point of the 1633: 1583: 1545: 1520: 1365: 1320: 1312: 1205:,) but here is allowed to have nonzero 1156:{\displaystyle \mathbf {V} \sigma ^{2}} 1117: 1091: 1042: 1002: 838: 783: 511: 495:{\displaystyle {\boldsymbol {\beta }},} 485: 386: 336: 302: 234: 208: 155: 147: 109: 1552:{\displaystyle {\boldsymbol {\beta }}} 1341:, forming the new problem formulation 1175:nonsingular matrix which was equal to 1069:Weighted and generalised least squares 733:{\displaystyle X^{\operatorname {T} }} 309:{\displaystyle {\boldsymbol {\beta }}} 215:{\displaystyle {\boldsymbol {\beta }}} 116:{\displaystyle {\boldsymbol {\beta }}} 7: 1923:IEEE Transactions on Medical Imaging 767:The expression can be rewritten as: 1955:it lacks sufficient corresponding 958: 805: 725: 600: 370: 358: 222:is a column vector containing the 25: 101:Suppose we have found a solution 2005:Draper, N.R.; H. Smith (1981) . 1940: 1714: 1703: 1691: 1682: 1671: 1623: 1615: 1604: 1573: 1506: 1497: 1473: 1459: 1450: 1427: 1413: 1404: 1373: 1360: 1352: 1307: 1299: 1260: 1252: 1247: 1239: 1228: 1183: 1139: 1024:The above inequality defines an 964: 953: 920: 851: 812: 796: 399: 376: 365: 349: 290:A joint 100(1 −  142: 134: 1908:Draper and Smith (1981, p. 109) 1899:Draper and Smith (1981, p. 108) 97:Hotelling's T-squared statistic 1890:Draper and Smith (1981, p. 94) 1755: 1737: 1718: 1666: 1642: 1619: 1593: 1569: 892: 880: 855: 832: 801: 777: 450: 438: 403: 380: 354: 330: 43:. It is a set of points in an 1: 1847:approaches can also be used. 196:matrix of observed values of 1190:{\displaystyle \mathbf {I} } 1063:singular value decomposition 2009:Applied Regression Analysis 562:{\displaystyle \sigma ^{2}} 280:{\displaystyle \sigma ^{2}} 2067: 1288:The least-squares problem 1072: 94: 88: 64: 58: 1826:{\displaystyle \chi ^{2}} 1079:Generalized least squares 254:independently distributed 711:statistical significance 679:{\displaystyle \nu =n-p} 1970:more precise citations. 1857:Circular error probable 702:{\displaystyle \alpha } 1827: 1765: 1553: 1528: 1481: 1435: 1384: 1328: 1268: 1191: 1157: 1125: 1099: 1075:Weighted least squares 1055: 1015: 986: 902: 758: 734: 713:level, and the symbol 703: 680: 629: 563: 524: 496: 460: 310: 281: 242: 216: 163: 117: 91:Ordinary least squares 1828: 1766: 1554: 1529: 1482: 1436: 1385: 1329: 1269: 1207:off-diagonal elements 1192: 1158: 1126: 1100: 1073:Further information: 1056: 1016: 987: 903: 759: 735: 704: 681: 630: 564: 525: 497: 461: 311: 282: 243: 217: 198:independent variables 164: 118: 89:Further information: 65:Further information: 1810: 1566: 1541: 1493: 1446: 1400: 1348: 1295: 1223: 1179: 1135: 1113: 1087: 1036: 996: 915: 774: 748: 717: 693: 658: 576: 546: 505: 481: 327: 298: 264: 258:normal distributions 230: 204: 130: 105: 39:generalization of a 1785:and the quantities 1105:have known nonzero 831: 536:reduced chi-squared 469:where the variable 74:prior probabilities 41:confidence interval 1823: 1801:Nonlinear problems 1795:degrees of freedom 1761: 1549: 1524: 1477: 1431: 1380: 1324: 1264: 1187: 1153: 1121: 1095: 1051: 1011: 982: 898: 810: 754: 730: 699: 687:degrees of freedom 676: 625: 559: 520: 492: 456: 306: 277: 238: 212: 182:dependent variable 159: 113: 76:are made, it does 2051:Estimation theory 1996: 1995: 1988: 1862:Linear regression 1664: 1639: 1589: 1048: 1008: 844: 789: 757:{\displaystyle X} 644:quantile function 620: 540:unbiased estimate 517: 392: 342: 37:multi-dimensional 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1813: 1808: 1807: 1803: 1721: 1701: 1689: 1669: 1653: 1602: 1592: 1564: 1563: 1539: 1538: 1504: 1491: 1490: 1457: 1444: 1443: 1411: 1398: 1397: 1346: 1345: 1293: 1292: 1226: 1221: 1220: 1203:identity matrix 1177: 1176: 1143: 1133: 1132: 1111: 1110: 1085: 1084: 1081: 1071: 1034: 1033: 994: 993: 951: 950: 946: 945: 935: 918: 913: 912: 864: 800: 772: 771: 746: 745: 720: 715: 714: 691: 690: 656: 655: 609: 595: 594: 579: 574: 573: 549: 544: 543: 503: 502: 479: 478: 422: 412: 363: 353: 325: 324: 296: 295: 267: 262: 261: 228: 227: 202: 201: 128: 127: 103: 102: 99: 93: 87: 69: 63: 57: 23: 22: 15: 12: 11: 5: 2064: 2062: 2054: 2053: 2043: 2042: 2039: 2038: 2025: 2019: 2000: 1997: 1994: 1993: 1976:September 2011 1948: 1946: 1939: 1932: 1931: 1910: 1901: 1892: 1882: 1881: 1879: 1876: 1875: 1874: 1869: 1864: 1859: 1852: 1849: 1820: 1816: 1802: 1799: 1772: 1771: 1760: 1757: 1754: 1751: 1748: 1745: 1742: 1739: 1734: 1731: 1728: 1724: 1720: 1716: 1710: 1705: 1698: 1693: 1688: 1684: 1678: 1673: 1668: 1662: 1659: 1656: 1652: 1647: 1644: 1638: 1635: 1629: 1625: 1621: 1617: 1611: 1606: 1599: 1595: 1588: 1585: 1579: 1575: 1571: 1547: 1535: 1534: 1522: 1516: 1513: 1508: 1503: 1499: 1488: 1475: 1469: 1466: 1461: 1456: 1452: 1441: 1429: 1423: 1420: 1415: 1410: 1406: 1391: 1390: 1379: 1375: 1371: 1367: 1362: 1358: 1354: 1335: 1334: 1322: 1318: 1314: 1309: 1305: 1301: 1275: 1274: 1262: 1258: 1254: 1249: 1245: 1241: 1235: 1230: 1185: 1150: 1146: 1141: 1119: 1093: 1070: 1067: 1047: 1044: 1028:region in the 1007: 1004: 979: 976: 971: 966: 960: 955: 949: 942: 938: 934: 928: 922: 909: 908: 897: 894: 891: 888: 885: 882: 877: 874: 871: 867: 863: 860: 857: 853: 849: 843: 840: 834: 829: 826: 820: 814: 807: 803: 798: 794: 788: 785: 779: 753: 727: 723: 698: 675: 672: 669: 666: 663: 648:F-distribution 636: 635: 624: 618: 615: 612: 607: 602: 598: 591: 586: 582: 556: 552: 516: 513: 491: 487: 467: 466: 455: 452: 449: 446: 443: 440: 435: 432: 429: 425: 419: 415: 411: 408: 405: 401: 397: 391: 388: 382: 378: 372: 367: 360: 356: 351: 347: 341: 338: 332: 304: 274: 270: 236: 210: 170: 169: 157: 153: 149: 144: 140: 136: 111: 86: 83: 56: 55:Interpretation 53: 24: 14: 13: 10: 9: 6: 4: 3: 2: 2063: 2052: 2049: 2048: 2046: 2034: 2033: 2026: 2022: 2020:0-471-02995-5 2016: 2011: 2010: 2003: 2002: 1998: 1990: 1987: 1979: 1969: 1965: 1959: 1958: 1952: 1947: 1938: 1937: 1928: 1924: 1920: 1914: 1911: 1905: 1902: 1896: 1893: 1887: 1884: 1877: 1873: 1870: 1868: 1865: 1863: 1860: 1858: 1855: 1854: 1850: 1848: 1846: 1845:Bootstrapping 1842: 1838: 1836: 1818: 1814: 1800: 1798: 1796: 1792: 1788: 1784: 1783:-distribution 1782: 1777: 1758: 1752: 1749: 1746: 1743: 1740: 1732: 1729: 1726: 1722: 1686: 1660: 1657: 1654: 1650: 1645: 1627: 1577: 1562: 1561: 1560: 1514: 1511: 1501: 1489: 1467: 1464: 1454: 1442: 1421: 1418: 1408: 1396: 1395: 1394: 1377: 1369: 1356: 1344: 1343: 1342: 1340: 1316: 1303: 1291: 1290: 1289: 1286: 1284: 1280: 1256: 1243: 1219: 1218: 1217: 1215: 1210: 1208: 1204: 1200: 1174: 1170: 1166: 1148: 1144: 1108: 1080: 1076: 1068: 1066: 1064: 1031: 1027: 1022: 977: 974: 969: 947: 940: 936: 932: 926: 895: 889: 886: 883: 875: 872: 869: 865: 861: 858: 847: 827: 824: 818: 792: 770: 769: 768: 765: 751: 743: 721: 712: 696: 688: 673: 670: 667: 664: 661: 653: 649: 645: 641: 622: 616: 613: 610: 605: 596: 589: 584: 580: 572: 571: 570: 554: 550: 541: 537: 533: 489: 476: 472: 453: 447: 444: 441: 433: 430: 427: 423: 417: 413: 409: 406: 395: 345: 323: 322: 321: 319: 293: 288: 272: 268: 259: 255: 251: 225: 199: 195: 191: 187: 183: 179: 175: 151: 138: 126: 125: 124: 98: 92: 84: 82: 79: 75: 68: 62: 54: 52: 50: 46: 42: 38: 34: 30: 19: 18:Error ellipse 2031: 2008: 1982: 1973: 1954: 1926: 1922: 1913: 1904: 1895: 1886: 1843: 1839: 1804: 1790: 1786: 1780: 1775: 1773: 1536: 1392: 1338: 1336: 1287: 1282: 1278: 1276: 1213: 1211: 1198: 1172: 1168: 1164: 1082: 1029: 1023: 910: 766: 651: 639: 637: 531: 474: 470: 468: 317: 291: 289: 249: 223: 193: 189: 185: 177: 173: 171: 100: 77: 70: 44: 32: 26: 1968:introducing 1835:chi-squared 1277:In effect, 1026:ellipsoidal 1999:References 1951:references 1929:(6):747-53 1837:) values. 1216:such that 1107:covariance 740:means the 95:See also: 59:See also: 29:statistics 1815:χ 1750:− 1733:α 1730:− 1709:′ 1697:′ 1687:− 1677:′ 1658:− 1637:^ 1634:β 1628:− 1610:′ 1598:′ 1587:^ 1584:β 1578:− 1546:β 1521:ε 1512:− 1465:− 1419:− 1366:β 1321:ε 1313:β 1234:′ 1145:σ 1118:ε 1092:ε 1046:^ 1043:β 1006:^ 1003:β 975:− 927:β 890:ν 876:α 873:− 859:≤ 848:− 842:^ 839:β 825:− 819:β 793:− 787:^ 784:β 742:transpose 697:α 671:− 662:ν 638:Further, 614:− 606:ε 597:ε 569:equal to 551:σ 515:^ 512:β 486:β 448:ν 434:α 431:− 407:≤ 396:− 390:^ 387:β 346:− 340:^ 337:β 303:β 269:σ 235:ε 209:β 156:ε 148:β 110:β 49:ellipsoid 2045:Category 1851:See also 1793:are the 1163:, where 1964:improve 1201:is the 709:is the 650:, with 646:of the 642:is the 534:is the 2017:  1953:, but 1393:where 1167:is an 911:where 292:α 248:is an 188:is an 176:is an 172:where 1878:Notes 1774:Here 538:, an 256:with 35:is a 2015:ISBN 1789:and 1171:-by- 1077:and 654:and 192:-by- 31:, a 1791:n-p 1487:and 1131:is 744:of 542:of 78:not 27:In 2047:: 1927:22 1925:, 1921:. 1285:. 1021:. 764:. 689:, 287:. 184:, 2023:. 1989:) 1983:( 1978:) 1974:( 1960:. 1833:( 1819:2 1787:p 1781:F 1776:F 1759:. 1756:) 1753:p 1747:n 1744:, 1741:p 1738:( 1727:1 1723:F 1719:) 1715:Z 1704:Q 1692:b 1683:Z 1672:Z 1667:( 1661:p 1655:n 1651:p 1646:= 1643:) 1624:b 1620:( 1616:Q 1605:Q 1594:) 1574:b 1570:( 1515:1 1507:P 1502:= 1498:f 1474:X 1468:1 1460:P 1455:= 1451:Q 1428:Y 1422:1 1414:P 1409:= 1405:Z 1378:, 1374:f 1370:+ 1361:Q 1357:= 1353:Z 1339:P 1317:+ 1308:X 1304:= 1300:Y 1283:V 1279:P 1261:V 1257:= 1253:P 1248:P 1244:= 1240:P 1229:P 1214:P 1199:I 1184:I 1173:n 1169:n 1165:V 1149:2 1140:V 1030:p 978:1 970:) 965:X 959:T 954:X 948:( 941:2 937:s 933:= 921:C 896:, 893:) 887:, 884:p 881:( 870:1 866:F 862:p 856:) 852:b 833:( 828:1 813:C 806:T 802:) 797:b 778:( 752:X 726:T 722:X 674:p 668:n 665:= 652:p 640:F 623:. 617:p 611:n 601:T 590:= 585:2 581:s 555:2 532:s 490:, 475:p 471:b 454:, 451:) 445:, 442:p 439:( 428:1 424:F 418:2 414:s 410:p 404:) 400:b 381:( 377:X 371:T 366:X 359:T 355:) 350:b 331:( 318:b 273:2 250:n 224:p 194:p 190:n 186:X 178:n 174:Y 152:+ 143:X 139:= 135:Y 45:n 20:)

Index

Error ellipse
statistics
multi-dimensional
confidence interval
ellipsoid
Confidence interval § Meaning and interpretation
Multivariate normal distribution § Geometric interpretation
prior probabilities
Ordinary least squares
Hotelling's T-squared statistic
dependent variable
independent variables
independently distributed
normal distributions
reduced chi-squared
unbiased estimate
quantile function
F-distribution
degrees of freedom
statistical significance
transpose
ellipsoidal
singular value decomposition
Weighted least squares
Generalized least squares
covariance
identity matrix
off-diagonal elements
F-distribution
degrees of freedom

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