in the fit result of roofit the correlation matrix with the linear correlation coeffients is given and for every fit parameter a global correlation coefficient is printed. The name says something about its meaning, but can someone explain how it is calculated?
I mean i know how a linear correlation coefficent is calculated. My question refers the the global correlation coefficient.
[quote] get global correlation coefficient for the parameter i. This is a number between zero and one which gives
the correlation between the i-th parameter and that linear combination of all other parameters which
is most strongly correlated with i. [/quote]
The exact definition is given at page 356 of the original (old) Minuit paper,
F. James, M. ROOS, MINUIT — A SYSTEM FOR FUNCTION MINIMIZATION AND ANALYSIS OF THE PARAMETER ERRORS AND CORRELATIONS, Computer Physics Communication, 10 (1975), 343
and you can find ow it is implemented in MnGlobalCorrelationCoeff.cxx
root.cern.ch/lxr/source/math/min … nCoeff.cxx