What If We Do Not Know Correlations?

Authors

Michael Beer, Leibniz University HannoverFollow
Zitong Gong, University of LiverpoolFollow
Ingo Neumann, Leibniz University HannoverFollow
Songsak Sriboonchitta, Chiang Mai UniversityFollow
Vladik Kreinovich, The University of Texas at El PasoFollow

Publication Date

6-2017

Comments

Technical Report: UTEP-CS-17-64

Abstract

It is well know how to estimate the uncertainty of the result y of data processing if we know the correlations between all the inputs. Sometimes, however, we have no information about the correlations. In this case, instead of a single value σ of the standard deviation of the result, we get a range [σ] of possible values. In this paper, we show how to compute this range.