Correlation in Uncertainty of Measurement - A Discussion of State of the Art Techniques
Ruediger Kessel, Raghu N. Kacker
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 know 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 matrices are positive semi-definite.
and Kacker, R.
Correlation in Uncertainty of Measurement - A Discussion of State of the Art Techniques, XIX IMEKO World Congress 2009, Lisbon, -1, [online], https://tsapps.nist.gov/publication/get_pdf.cfm?pub_id=902877
(Accessed July 31, 2021)