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by gus_massa
516 days ago
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It's interesting to compare with the result without covariance. The probability of > 2 sigma positive in 0.0228. The probability to get > 2 sigma in 3 variables is 0.0228^3=0.0000118=0.00118% or 118 per million. With the correlation they get 85, that is unsurprising. Calculating the exact number looks like a nightmare. I'd try with Wolfram Alpha and hope it can integrate it numerically. Otherwise, I'd use the Montecarlo method, that is equivalent to their method, but they use "N = 20 million" that is pretty small, I think with a x1000 the calculation still takes less than a second and the error would be like 30 smaller. |
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