Modern Methods of

Data Analysis
Lecture V (12.11.07)

Contents:
Central Limit Theorem
Uncertainties:
concepts, propagation and properties

Modern Methods of Data Analysis - WS 07/08 Stephanie Hansmann-Menzemer

 Central Limit Theorem
Consider the sum X of n independent variables ,
with i = 1,2,3, ..., each taken from a different distribu-
tion with expectation value and variance

Then the distribution for has the following

properties:

Its expectation value is

Its variance is

It becomes Gaussian distributed for n

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 Uniform distribution

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 Uneven Distribution

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 Exponential Distribution

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 But ....
In order to work
No source contributes significant to overall
variance
multiple scattering Distribution with few
events in large tails
need many more
statistic to converge.

CLT unfortunately
doesn't work for
many physics
applications!

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 Application: Many repeated Measurements

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 m(B0) = 5279.63 0.53 (stat) 0.33 (sys)
CDF has a mass resolution of 16 MeV
the reconstructed mass of a single B meson is spread
around the true B mass with =16 MeV
The B mass can be measured with way better precision

Modern Methods of Data Analysis - WS 07/08 Stephanie Hansmann-Menzemer

Modern Methods of Data Analysis - WS 07/08 Stephanie Hansmann-Menzemer
Modern Methods of Data Analysis - WS 07/08 Stephanie Hansmann-Menzemer
 Law of large numbers ...

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 Weighted Mean (I)
Combining measurements with different
uncertainties: Twice time measurement of the
seed of a car:

v1 = 67 4 m/s
v2 = 62 2 m/s

Uncertainty on mean is larger than

single uncertainty ... ???
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 Weighted Mean (II)
To reach = 2 m/s, 4 single measurements
with = 4 m/s are needed. Therefore this
measurement should get 4 times the weight!

More general:

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 Weighted Mean (III)

v1 = 67 4 m/s
v2 = 53 2 m/s

????

Modern Methods of Data Analysis - WS 07/08 Stephanie Hansmann-Menzemer

 New Scientist, 31 March 1988

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 Neutron Lifetime
(PDG 2006)

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 Particle Data Group: World Average
1) Calculate weighted mean
2) Calculate

there are 3 cases to consider

- < 1: all fine, simple weighted mean is OK
- 1: Depending on the reason, either
make no average at all, or quote calculated average and
make educated guess of error, taking into account known
problems with data
- > 1: Errors on some or all measurements
may have been underestimated, scale all of them with:

to compute S, reject ones with larger uncertainties

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 Ideogram

http://pdg.lbl.gov/2007/reviews/textrpp.pdf
Modern Methods of Data Analysis - WS 07/08 Stephanie Hansmann-Menzemer
 Reminder: Covariance
covariance of two variables x, y is defined as:

if two variables are uncorrelated cov(x,y) = 0

If cov(x,y)=0 x,y are uncorrelated
Correlation is defined as:

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 Properties Correlations
Example of correlations for two random variables x and y
the covariance V(x,y) or cov(x,y) can be represented by a
matrix (often called error matrix)

General case of correlations for n random variables, there is

covariance between each pair of variables

analogous, correlation matrix is defined

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 Error Propagation (I)
x=
Vi,j and i known
y(x) is function of
first order Taylor expansion ...

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 Error Propagation (II)

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 Gaussian error propagation
Error estimates for functions of several correlated
variables :

Additional terms accounting

Normal errors for correlations
for uncorrelated variables
Special case, uncorrelated variables:

This is called Gaussian error propagation, however has

nothing to do with Gaussian distributions
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 And the same in more dimensions

(A is Jacobi matrix)

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 Example: Track Parametrization (I)

Typical tracking chamber measures 3D, due to

symmetry uses cylindrical coordinates: (r,,z)

Want to know what are the uncertainties in Cartesian

coordinates (x,y,z): x = r cos; y = r sin

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 Example: Track Parametrization(II)

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 Exercise:
x,y are two random variables with the
correlation matrix V:

a = 3/7 x +1/7 y; b = 1/7 x - 2/7y;

Give the correlation matrix of a,b

(note this time it is not an approximation ...)

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 Orthogonal Transformation
For n variables one can always find a linear
transformation such that the in the
covariance matrix of the new set of variables
is diagonal.

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 Exercise: Some standard formulae

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 Example: Measure Asymmetry (I)
Define A = (F-B)/(F+B) an asymmetry of events in
forward and backward hemisphere of the detector
(e.g. @ LEP). Here F (B) is the number of events
in forward (backward) hemisphere

Case I: If the events in forward and backward hemisphere

are uncorrelated then:

if errors are individually errors are dominated

Poisson distributed for by smaller counting rate
F and B, then
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 Example: Measure Asymmetry (II)
case II: events in forward and backward hemisphere are
completely anti-correlated, N is thus fixed

- distribution of events F and B are then given by Binomial

distribution; let p be probability that event is in forward h.s.:

- this is the same expression as before demonstrates

relationship between Poisson & Binomial
- either Poisson prob of obtaining N events altogether times
binomial prob. of having F events in forward
- or: two independent Poisson prob. in the number of
backward and forward events
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 Repetition: Histogram Interpretation of bins

A histogram can be equivalently regarded as:

1. A Poisson distribution in the overall number of

events N and the corresponding multinomial
distribution of obtaining events in
each bin

2. An independent Poisson distribution of the

number of entries in each bin
of the histogram.

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 Exercise: Detector Efficiency
Compute the error on measuring detector efficiency
in two different ways:

Binomial distribution; p: probability to detect traversing

particle, N number of events

Using error propagation, : number of detected events

:number of not detected events, treat as
independent variables

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 Be aware ....
The approximation using Taylor expansion
breaks down if the function is significantly not
linear in the region 1 around the mean value.
Example: momentum estimate in B field; p ~ 1/

10 % momentum bias!

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 st
Failure of (1 order) error propagation
experiment had data to look for non-zero mass of electron
neutrino
Quantity R was measured:

Don't need to know details. Sufficient to know: a, b, c, d, e

are measured quantities and K is constant. If R < 0.42, then
neutrino must have mass.
The experiment measured R=0.165 and found with error
propagation (R) = 0.073 -> 3 evidence for neutrino mass!
however, the formula is highly non-linear ...
1st order error propagation not applicable!

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 What to do instead?
Use MC methods!
Throw Gaussian distributed values for a,b,c,d,e
Compute R; repeat toy many times and check how
often you are below the measured value of R.
In example this happens in 4% of the cases. This
is the so-called p-value of this result.
In many physics analysis, simple Gaussian error
propagation not valid or too complicated ...
(e.g. highly non linear functions, many correlated variables)

p-value MC method always works!

Modern Methods of Data Analysis - WS 07/08 Stephanie Hansmann-Menzemer