Vector measurement uncertainty and a two-output example
For a differentiable real model Y=f(X), first-order output covariance is Σ_Y≈JΣ_XJᵀ, J_ai=∂f_a/∂x_i at the input estimate; the rule is exact for an affine model with finite input covariance.
Key knowledge
For a differentiable real model Y=f(X), first-order output covariance is Σ_Y≈JΣ_XJᵀ, J_ai=∂f_a/∂x_i at the input estimate; the rule is exact for an affine model with finite input covariance. For impedance inferred from voltage/current amplitudes and phase, R=V cosφ/I and X_r=V sinφ/I share the same uncertain inputs, so their covariance must be retained as well as their separate uncertainties.
Values and equations
Σ_Y≈JΣ_XJᵀ; R=Vcosφ/I; X_r=Vsinφ/I
- X,Y
- Input/output vectors; component-dependent physical units
- Σ_X,Σ_Y
- Covariance matrices; entry ij has the product of component units
- J_ai
- Sensitivity entry; output-a unit/input-i unit
- V
- Sinusoidal voltage amplitude V
- I
- Sinusoidal current amplitude A
- φ
- Voltage-minus-current phase rad
- R,X_r
- Resistance and reactance Ω
Conditions and scope
- Specified vector measurand/model, finite valid positive-semidefinite joint input covariance and adequate linearization over the input uncertainty region. In the circuit example use consistent amplitude conventions, I>0 well away from zero and a local unwrapped phase convention.
- The 2×3 sensitivity rows are (cosφ/I,−Vcosφ/I²,−Vsinφ/I) and (sinφ/I,−Vsinφ/I²,Vcosφ/I). Shared-input output correlation can remain even if inputs are mutually independent. A covariance matrix alone does not determine a joint coverage region or justify a Gaussian distribution.
Sources · 1
References
Sources retain their recorded scope. A source link alone does not establish verification of every statement.
Evidence and review
JCGM 102:2011: extension to multiple output quantities: §6.1.2–§6.2.1.3, printed pages 14–15, equation 3: full input/output covariance and evaluated sensitivity matrix; §6.2.2 example 1, equation 4 and displayed 2×3 derivative matrix, printed pages 15–16: resistance/reactance model. Source C_x is relabeled J, U_x/U_y as Σ_X/Σ_Y; first-order qualification and affine exactness follow covariance algebra, not an assumption of normality.
2026-10-10 · Independent AI editorial review: Independent root AI editorial review of all29 authored Measurement claims/conditions, displayed equations and37 origin relations. The original26 claims were read against41 primary source sections; all5 requested corrections and the3 affected source bindings were subsequently rechecked. Three actual scalar-nonlinear/vector/dynamic applications were read, independently differentiated or integrated, and checked against the specific additional source material described below. This is reference-content review, not human specialist certification, instrument certification or experimental replication. Full-field sign-off waits for the combined final conceptual matrix. Receipt: measurement-independent-content-review.1.
Entry details
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- measurement-vector-output-covariance
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