First-order uncertainty propagation
Combine input uncertainty through a measurement model.
Key knowledge
For y = f(x₁,…,xₙ), first-order propagation weights input variances and covariances by the model's sensitivity coefficients. Correlations must be retained when the input estimates are correlated.
Values and equations
u_c²(y) ≈ Σᵢ cᵢ²u²(xᵢ) + 2Σᵢ<ⱼ cᵢcⱼcov(xᵢ,xⱼ); cᵢ = ∂f/∂xᵢ
- y
- Output estimate obtained from the input estimates by the measurement model f unit of the output quantity
- xᵢ
- Estimate of input quantity i declared unit of input quantity i
- xⱼ
- Estimate of input quantity j declared unit of input quantity j
- n
- Positive integer number of input quantities 1
- i,j
- Input indices from 1 to n; each covariance pair in the second sum satisfies i<j 1
- u_c(y)
- Combined standard uncertainty of the output estimate unit of y
- u(xᵢ)
- Standard uncertainty of input estimate xᵢ unit of xᵢ
- cᵢ
- Sensitivity coefficient ∂f/∂xᵢ evaluated at the input estimates unit of y divided by unit of xᵢ
- cov(xᵢ,xⱼ)
- Estimated covariance of input estimates xᵢ and xⱼ unit of xᵢ multiplied by unit of xⱼ
- f
- Measurement-model function mapping the declared inputs to the output quantity output unit when evaluated on the declared input units
Conditions and scope
- The first-order Taylor approximation must adequately represent f over the relevant uncertainty range.
- Include significant corrections and influence quantities in the measurement model; independence must not be assumed without justification.
Sources · 2
References
Sources retain their recorded scope. A source link alone does not establish verification of every statement.
Evidence and review
NIST TN1297 Appendix A.1–A.3, equation A-3.
Input/output estimates, standard uncertainties, sensitivity coefficients and covariances have the stated dimensions; each first-order variance contribution has squared output units.
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Foundational review
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Sources from other places
Agreement within this scope
Adequate first-order linearization propagates input covariance through model sensitivities.
Correlated inputs require covariance terms; strongly nonlinear cases need further evaluation.
National Physical Laboratory
- Uncertainty Evaluation · NPL Report MS6 United KingdomEnglishShared standard
5.5.1–5.5.2; 6.2.1 equation6.2, pp59,64
- Uncertainty Evaluation · NPL Report MS6
Entry details
Permanent link to this entry ↗- Record identity
- measurement-uncertainty-propagation
- Revision
- foundations-audit.1
- Structured reference record
- Essential core · first collection · University core expansion