Numerical Methods and Data Analysis

Index
A

Adams-Bashforth-Moulton Predictor-Corrector.. Characteristic values........................................ 49

.......................................................................136 of a matrix............................................ 49
Analysis of variance...............................220, 245 Characteristic vectors....................................... 49
design matrix for ...............................243 of a matrix............................................. 49
for one factor.....................................242 Chebyschev polynomials................................. 90
Anti-correlation: meaning of..........................239 of the first kind ................................................ 91
Approximation norm......................................174 of the second kind..................................... 91
Arithmetic mean.............................................222 recurrence relation ................................... 91
Associativity defined .........................................3 relations between first and second
Average ..........................................................211 kind ........................................ 91
Axial vectors ....................................................11 Chebyshev norm
and least squares ............................... 190
B defined ............................................... 186
Babbitt................................................................1 Chi square
Back substitution..............................................30 defined ............................................... 227
Bairstow's method for polynomials distribution and analysis of variance . 244
.........................................................................62 normalized ......................................... 227
Bell-shaped curve and the normal curve …… 209 statistic for large N ............................ 230
Binomial coefficient …………….……...99, 204 Chi-square test
Binomial distribution function ...............204, 207 confidence limits for......................... 232
Binomial series...............................................204 defined .............................................. 232
Binomial theorem...........................................205 meaning of ........................................ 232
Bivariant distribution .....................................219 Cofactor of a matrix......................................... 28
Blocked data and experiment design……… Combination
272 defined .............................................. 204
Bodewig ...........................................................40 Communitative law............................................ 3
Bose-Einstein distribution function ...............210 Complimentary error function ....................... 233
Boundary value problem................................122 Confidence level
a sample solution...............................140 defined .............................................. 231
compared to an initial value problem145 and percentiles .................................. 232
defined ..............................................139 for correlation
Bulirsch-Stoer method ...................................136 coefficients................................ 241, 242
for the F-test ..................................... 234
C Confounded interactions
Cantor, G............................................................3 defined .............................................. 250
Cartesian coordinates ...................................8, 12 Constants of integration for ordinary differential
Causal relationship and correlation 239, 240 equations........................................... 122
Central difference operator Contravariant vector…………............... …… 16
defined ................................................99 Convergence of Gauss-Seidel iteration ........... 47
Characteristic equation ....................................49 Convergent iterative function
of a matrix ..............................................49 criterion for ......................................... 46
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Index
Coordinate transformation .................................8 Degrees of freedom
Corrector and correlation .................................. 241
Adams-Moulton ................................136 defined .............................................. 221
Correlation coefficient for binned data .................................. 236
and causality .....................................241 for the F-statistic............................... 230
and covariance ..................................242 for the F-test ..................................... 233
and least squares ...............................242 for the t-distribution.......................... 227
defined ..............................................239 in analysis of variance ...................... 244
for many variables.............................241 Del operator ..................................................... 19
for the parent population...................241 (see Nabula)
meaning of ................................239, 240 Derivative from Richardson extrapolation .... 100
symmetry of ......................................242 Descartes's rule of signs................................... 57
Covariance .....................................................219 Design matrix
and the correlation coefficient ..........241 for analysis of variance..................... 243
coefficient of .....................................219 Determinant
of a symmetric function ....................220 calculation by Gauss-Jordan
Covariant vectors Method................................................ 33
definition.............................................17 of a matrix............................................. 7
Cramer's rule ....................................................28 transformational invariance of……… 47
Cross Product ...................................................11 Deviation
Crout Method ...................................................34 from the mean ................................... 238
example of...........................................35 statistics of ........................................ 237
Cubic splines Difference operator
constraints for .....................................75 definition............................................. 19
Cumulative probability and KS tests .............235 Differential equations
Cumulative probability distribution and linear 2-point boundary
of the parent population ....................235 value problems.................................. 139
Curl ..................................................................19 Bulirsch-Stoer method ................................... 136
definition of.........................................19 error estimate for .............................. 130
Curve fitting ordinary, defined............................... 121
defined ................................................64 partial................................................ 145
with splines .........................................75 solution by one-step methods ........... 122
solution by predictor-corrector
D methods............................................. 134
Degree solution by Runga-Kutta method…..126
of a partial differential equation........146 step size control ................................ 130
of an ordinary differential equation ..121 systems of ......................................... 137
Degree of precision Dimensionality of a vector................................. 4
defined ..............................................102 Dirac delta function
for Gaussian quadrature ....................106 as a kernel for an integral
for Simpson's rule .............................104 equation ........................................... 155
for the Trapezoid rule........................103 Directions cosines.............................................. 9

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 Numerical Methods and Data Analysis

Dirichlet conditions F-test

for Fourier series ...............................166 and least squares ............................... 234
Dirichlet's theorem .........................................166 defined .............................................. 233
Discrete Fourier transform .............................169 for an additional parameter............... 234
Distribution function meaning of ........................................ 234
for chi-square ....................................227 Factor
for the t-statistic ................................226 in analysis of variance ...................... 242
of the F-statistic ................................229 of an experiment ............................... 249
Divergence .......................................................19 Factored form
definition of.........................................19 of a polynomial................................... 56
Double-blind experiments..............................246 Factorial design.............................................. 249
Fast Fourier Transform ............................ 92, 168
Fermi-Dirac distribution function.................. 210
E Field
Effect definition............................................... 5
defined for analysis of variance ........244 scalar..................................................... 5
Eigen equation .................................................49 vector .................................................... 5
of a matrix ...........................................49 Finite difference calculus
Eigen-vectors ...................................................49 fundemental theorem of...................... 98
of a matrix ...........................................49 Finite difference operator
sample solution for..............................50 use for numerical differentiation ........ 98
Eigenvalues First-order variances
of a matrix .....................................48, 49 defined .............................................. 237
sample solution for..............................50 Fixed-point
Equal interval quadrature...............................112 defined ................................................ 46
Equations of condition Fixed-point iteration theory ............................. 46
for quadrature weights ......................106 and integral equations....................... 153
Error analysis and non-linear least squares...... 182, 186
for non-linear least squares ...............186 and Picard's method .......................... 123
Error function.................................................232 for the corrector in ODEs ................. 136
Euler formula for complex numbers ..............168 Fourier analysis.............................................. 164
Expectation value...........................................221 Fourier integral .............................................. 167
defined ..............................................202 Fourier series ........................................... 92, 160
Experiment design .........................................245 and the discrete Fourier transform.... 169
terminology for .................................249 coefficients for.................................. 165
using a Latin square ..........................251 convergence of.................................. 166
Experimental area ..........................................249 Fourier transform..................................... 92, 164
Extrapolation..............................................77, 78 defined .............................................. 167
for a discrete function ....................... 169
F inverse of .......................................... 168
F-distribution function Fredholm equation
defined ..............................................227 defined .............................................. 146
F-statistic........................................................230 solution by iteration .......................... 153
and analysis of variance ....................244 solution of Type 1............................. 147
for large N.........................................230 solution of Type 2............................. 148

261
Index
Freedom
degrees of..........................................221 Higher order differential equations as systems
Fundamental theorem of algebra......................56 of first order equations………………...140
Hildebrandt ...................................................... 33
G Hollerith............................................................. 1
Galton, Sir Francis .........................................199 Hotelling .......................................................... 40
Gauss, C.F. ............................................106, 198 Hotelling and Bodewig method
Gauss elimination example of .......................................... 42
and tri-diagonal Hyper-efficient quadrature formula
equations……………38 for one dimension ............................. 103
Gauss Jordan Elimination ................................30 in multiple dimensions...................... 115
Gauss-Chebyschev quadrature Hypothesis testing and analysis of variance .. 245
and multi-dimension quadrature .......114
Gauss-Hermite quadrature .............................114 I
Gauss-iteration scheme Identity operator .............................................. 99
example of...........................................40 Initial values for differential equations.......... 122
Gauss-Jordan matrix inversion Integral equations
example of...........................................32 defined .............................................. 146
Gauss-Laguerre quadrature ............................117 homogeneous and inhomogeneous ... 147
Gauss-Legendre quadrature ...........................110 linear types........................................ 147
and multi-dimension quadrature .......115 Integral transforms......................................... 168
Gauss-Seidel Iteration ......................................39 Interaction effects and experimental design .. 251
example of...........................................40 Interpolation
Gaussian Elimination .......................................29 by a polynomial .................................. 64
Gaussian error curve ......................................210 general theory ..................................... 63
Gaussian quadrature ......................................106 Interpolation formula as a basis for quadrature
compared to other quadrature formulae112 formulae……………………104
compared with Romberg quadrature.111 Interpolative polynomial
degree of precision for ......................107 example of .......................................... 68
in multiple dimensions......................113 Inverse ............................................................... 3
specific example of ...........................108 of a Fourier Transform ..................... 168
Gaussian-Chebyschev quadrature ..................110 Iterative function
Gegenbauer polynomials ................................91 convergence of.................................... 46
Generating function for orthogonal polynomials87 defined ................................................ 46
Gossett ...........................................................233 multidimensional ................................ 46
Gradient ...........................................................19 Iterative Methods
definition of.........................................19 and linear equations ............................ 39
of the Chi-squared surface…………..183
J
H Jacobi polynomials .......................................... 91
Heisenberg Uncertainty Principle ..................211 and multi-dimension Gaussian
Hermite interpolation .......................................72 quadrature ......................................... 114
as a basis for Gaussian quadrature….106 Jacobian ......................................................... 113
Hermite Polynomials .......................................89 Jenkins-Taub method for polynomials ............ 63
recurrence relation…………...............89
Hermitian matrix
definition...............................................6
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 Numerical Methods and Data Analysis

K Legendre Polynomials ..................................... 87

Kernel of an integral equation........................148 for Gaussian quadrature.................... 108
and uniqueness of the solution….. …154 recurrence relation .............................. 87
effect on the solution.........................154 Lehmer-Schur method for polynomials........... 63
Kolmogorov-Smirnov tests ............................235 Leibnitz............................................................ 97
Type 1 ...............................................236 Levels of confidence
Type 2 ...............................................236 defined .............................................. 231
Kronecker delta......................................9, 41, 66 Levi-Civita Tensor........................................... 14
definition...............................................6 definition............................................. 14
Kurtosis ..........................................................212 Likelihood
of a function ......................................213 defined .............................................. 221
of the normal curve ...........................218 maximum value for........................... 221
of the t-distribution ...........................226 Linear correlation ......................................... 236
Linear equations
L formal solution for .............................. 28
Lagrange Interpolation.....................................64 Linear Programming...................................... 190
and quadrature formulae ...................103 and the Chebyshev norm .................. 190
Lagrange polynomials Linear transformations....................................... 8
for equal intervals ...............................66 Logical 'or' ..................................................... 200
relation to Gaussian quadrature……..107 Logical 'and'................................................... 200
specific examples of............................66
Lagrangian interpolation M
and numerical differention……………99 Macrostate ..................................................... 210
weighted form .....................................84 Main effects and experimental design………..251
Laguerre Polynomials ......................................88 Matrix
recurrence relation ..............................89 definition............................................... 6
Laplace transform factorization ........................................ 34
defined ..............................................168 Matrix inverse
Latin square improvement of................................... 41
defined ..............................................251 Matrix product
Least square coefficients definition............................................... 6
errors of.....................................176, 221 Maximum likelihood
Least Square Norm and analysis of variance.................... 243
defined ..............................................160 of a function...................................... 222
Least squares Maxwell-Boltzmann statistics ....................... 210
and analysis of variance ....................243 Mean ...................................................... 211, 212
and correlation distribution of ................................... 225
coefficients…………236 of a function.............................. 211, 212
and maximum likelihood ..................222 of the F-statistic ................................ 230
and regression analysis .....................199 of the normal curve........................... 218
and the Chebyshev norm...................190 of the t-distribution ........................... 226
for linear functions............................161 Mean square error
for non-linear problems.....................181 and Chi-square.................................. 227
with errors in the independent variable181 statistical interpretation of…………..238
Legendre, A. ..........................................160, 198 Mean square residual (see mean square error)
Legendre Approximation .......................160, 164 determination of................................ 179

263
Index
Median matrix development for tensor product
defined ..............................................214 ……………………………..162
of the normal curve ...........................218 for weighted...................................... 163
Microstate ......................................................210 for Normal matrices
Milne predictor...............................................136 defined .................................................. 7
Mini-max norm ..............................................186 for least squares ................................ 176
(see also Chebyshev norm) Null hypothesis .............................................. 230
Minor of a matrix .............................................28 for correlation ................................... 240
Mode ..............................................................222 for the K-S tests ................................ 235
defined ..............................................213 Numerical differentiation................................. 97
of a function ......................................214 Numerical integration .................................... 100
of chi-square .....................................227
of the F-statistic ................................230 O
of the normal curve ...........................218 Operations research ....................................... 190
of the t-distribution ...........................226 Operator ........................................................... 18
Moment of a function.....................................211 central difference ................................ 99
Monte Carlo methods.....................................115 difference ............................................ 19
quadrature .........................................115 differential .......................................... 18
Multi-step methods for the solution of ODEs…... finite difference................................... 98
…………………….134 finite difference identity……….........99
Multiple correlation .......................................245 identity................................................ 19
Multiple integrals ...........................................112 integral................................................ 18
Multivariant distribution ................................219 shift ............................................... 19, 99
summation .......................................... 19
N vector .................................................. 19
Nabula ..............................................................19 Optimization problems .................................. 199
Natural splines .................................................77 Order
Neville's algorithm for polynomials.................71 for an ordinary differential
Newton, Sir I. .................................................97 equation ............................................ 121
Newton-Raphson of a partial differential
and non-linear least squares ..............182 equation…….146
for polynomials ...................................61 of an approximation............................ 63
Non-linear least squares of convergence.................................... 64
errors for ...........................................186 Orthogonal polynomials
Non-parametric statistical tests and Gaussian quadrature................... 107
(see Kolmogorov-Smirnov as basis functions for iterpolation ....... 91
tests) .....................................236 some specific forms for ...................... 90
Normal curve .................................................209 Orthogonal unitary transformations................. 10
and the t-,F-statistics .........................230 Orthonormal functions………………………..86
Normal distribution........................................221 Orthonormal polynomials
and analysis of variance ....................245 defined ................................................ 86
Normal distribution function..........................209 Orthonormal transformations..................... 10, 48
Normal equations ...........................................161 Over relaxation for linear equations ................ 46
for non-linear least squares ...............181
for orthogonal functions....................164
for the errors of the coefficients........175
for unequally spaced data..................165
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 Numerical Methods and Data Analysis

P Power Spectra .................................................. 92

Parabolic hypersurface and non-linear least Precision of a computer ................................... 25
squares ..............................................184 Predictor
Parametric tests ..............................................235 Adams-Bashforth.............................. 136
(see t-,F-,and chi-square tests) stability of......................................... 134
Parent population ...........................217, 221, 231 Predictor-corrector
and statistics ......................................200 for solution of ODEs......................... 134
correlation coefficients in .................239 Probabilitly
Partial correlation...........................................245 definition of ...................................... 199
Partial derivative Probability density distribution function ....... 203
defined ..............................................146 defined .............................................. 203
Partial differential equation............................145 Probable error ................................................ 218
and hydrodynamics ...........................145 Product polynomial
classification of .................................146 defined .............................................. 113
Pauli exclusion principle................................210 Proper values ................................................... 49
Pearson correlation coefficient.......................239 of a matrix........................................... 49
Pearson, K. ...................................................239 Proper vectors .................................................. 49
Percent level...................................................232 of a matrix........................................... 49
Percentile Protocol for a factorial design........................ 251
defined ..............................................213 Pseudo vectors ................................................ 11
for the normal curve..........................218 Pseudo-tensor................................................... 14
Permutation (see tensor density)
defined ..............................................204 Pythagoras theorem and least squares ........... 179
Personal equation ...........................................246
Photons ……………………………..............229 Q
Picard's method ..............................................123 Quadrature ..................................................... 100
Poisson distribution........................................207 and integral equations....................... 148
Polynomial for multiple integrals ........................ 112
factored form for .................................56 Monte Carlo...................................... 115
general definition ................................55 Quadrature weights
roots of ................................................56 determination of................................ 105
Polynomial approximation...............................97 Quartile
and interpolation theory ......................63 defined .............................................. 214
and multiple quadrature ....................112 upper and lower ................................ 214
and the Chebyshev norm...................187 Quotient polynomial ........................................ 80
Polynomials interpolation with................................ 82
Chebyschev.........................................91 (see rational function)......................... 80
for splines ..........................................76
Gegenbauer .........................................90 R
Hermite ...............................................90 Random variable
Jacobi ..................................................90 defined .............................................. 202
Lagrange .............................................66 moments for...................................... 212
Laguerre ..............................................89 Rational function ............................................. 80
Legendre .............................................87 and the solution of ODEs.................. 137
orthonormal.........................................86 Recurrence relation
Ultraspherical......................................90 for Chebyschev polynomials .............. 91
Polytope .........................................................190 for Hermite polynomials.................................. 90
265
Index
for Laguerre polynomials....................89 Similarity transformation................................. 48
for Legendre polynomials ...................87 definition of ........................................ 50
for quotient polynomials .....................81 Simplex method ............................................. 190
for rational interpolative Simpson's rule
functions..............................................81 and Runge-Kutta............................... 143
Recursive formula for Lagrangian polynomials68 as a hyper-efficient quadrature
Reflection transformation ................................10 formula…………………….104
Regression analysis........................217, 220, 236 compared to other quadrature ................
and least squares ...............................199 formulae............................... 112
Regression line...............................................237 degree of precision for...................... 104
degrees of freedom for ......................241 derived .............................................. 104
Relaxation Methods running form of................................. 105
for linear equations .............................43 Singular matrices ............................................. 33
Relaxation parameter Skewness ....................................................... 212
defined ................................................44 of a function...................................... 212
example of...........................................44 of chi-square ..................................... 227
Residual error of the normal curve........................... 218
in least squares ..................................176 of the t-distribution ........................... 226
Richardson extrapolation .................................99 Splines ............................................................. 75
or Romberg quadrature .....................111 specific example of ............................. 77
Right hand rule.................................................11 Standard deviation
Romberg quadrature.......................................111 and the correlation coefficient .......... 239
compared to other formulae………... 112 defined .............................................. 212
including Richardson extrapolation....112 of the mean ....................................... 225
Roots of a polynomial......................................56 of the normal curve........................... 218
Rotation matrices .............................................12 Standard error of estimate.............................. 218
Rotational Transformation ..............................11 Statistics
Roundoff error .................................................25 Bose-Einstein.................................... 210
Rule of signs ....................................................57 Fermi-Dirac ...................................... 211
Runga-Kutta algorithm for systems of ODEs 138 Maxwell-Boltzmann ......................... 210
Runga-Kutta method ......................................126 Steepest descent for non-linear least squares. 184
applied to boundary value problems .141 Step size
control of for ODE............................ 130
S Sterling's formula for factorials ..................... 207
Sample set and probability Students's t-Test............................................. 233
theory…………..200 (see t-test)
Sample space..................................................200 Symmetric matrix .............................................. 6
Scalar product Synthetic Division ........................................... 57
definition...............................................5 recurrence relations for ....................... 58
Secant iteration scheme for polynomials .........63
Self-adjoint.........................................................6
Shift operator ...................................................99
Significance
level of ..............................................230 T
meaning of ........................................230 t-statistic
of a correlation coefficient ................240 defined .............................................. 225
for large N......................................... 230
266
 Numerical Methods and Data Analysis

t-test Variance......................................... 211, 212, 220

defined ..............................................231 analysis of......................................... 242
for correlation coefficients................242 for a single observation..................... 227
for large N.........................................231 of the t-distribution ........................... 226
Taylor series of a function...................................... 212
and non-linear least squares ..............183 of a single observation...................... 220
and Richardson extrapolation .............99 of chi-square ..................................... 227
and Runga-Kutta method ..................126 of the normal curve........................... 218
Tensor densities ..............................................14 of the F-statistic ................................ 230
Tensor product of the mean ............................... 220, 225
for least square normal equations......162 Variances
Topology............................................................7 and Chi-squared................................ 227
Trace first order .......................................... 238
of a matrix .............................................6 of deviations from the mean ............. 238
transformational invarience of ............49 Vector operators .............................................. 19
Transformation- rotational ...............................11 Vector product
Transpose of the matrix ...................................10 definition............................................... 6
Trapezoid rule ................................................102 Vector space
and Runge-Kutta ...............................143 for least squares ................................ 179
compared to other quadrature formulae112 Vectors
general form ......................................111 contravariant ....................................... 16
Treatment and experimental design ...............249 Venn diagram for combined probability........ 202
Treatment level Volterra equations
for an experiment ..............................249 as Fredholm equations ...................... 150
Tri-diagonal equations .....................................38 defined .............................................. 146
for cubic splines ..................................77 solution by iteration .......................... 153
Trials solution of Type 1............................. 150
and experimantal design ...................252 solution of Type 2............................. 150
symbology for………………………252
Triangular matrices W
for factorization...................................34 Weight function ............................................... 86
Triangular system for Chebyschev polynomials .............. 90
of linear equations...............................30 for Gaussian quadrature.................... 109
for Gegenbauer polynomials .............. 90
Trigonometric functions for Hermite polynomials..................... 89
orthogonality of...................................92 for Laguerre polynomials ................... 88
Truncation error ...............................................26 for Legendre polynomials................... 87
estimate and reduction for ODE........131 Jacobi polynomials ............................. 90
estimate for differential equations.....130 Weights for Gaussian quadrature................... 108
for numerical differentiation ...............99
Y
U Yield for an experiment ................................. 249
Unit matrix .......................................................41
Unitary matrix....................................................6 Z
Zeno's Paradox............................................... 197
V
Vandermode determinant.................................65
267