 Quadratic Gaussian overlap correction

A quadratic Gaussian overlap correction models an estimated logarithmic variance as a nonnegative quadratic function of Gaussian calibration residuals. It gives an exact mean for a corrected overlap while retaining the dependence between the reading and the variance estimate. The model is useful for testing uncertainty propagation software and understanding which shared residuals matter.

Let $Z\sim N(0,I_n)$, $d=a^{\mathsf{T}}Z$ and $\hat{v}=c+Z^{\mathsf{T}}BZ$, with $B$ a symmetric positive semidefinite matrix and $c\ge 0$. For $\tilde{\gamma }=\gamma \exp (d-\hat{v}/2)$, the joint exponential moment in overlap correction givesThe eigenvalues of $B$ describe how strongly each calibration direction enters the variance estimate, while the components of $a$ describe how those same directions enter the reading. Eigenmode alignment in overlap variance correction therefore affects the bias even when the variance estimate's marginal distribution is unchanged.

An original eigenvector calculation writes $B=Q\mathrm{diag}({\lambda }_k)Q^{\mathsf{T}}$ and $\alpha =Q^{\mathsf{T}}a$. Taking logarithms givesThis form avoids taking a determinant and a potentially large exponential separately. It also displays which calibration directions overlap the readout direction. Unbiased variance estimation requires $c+{\sum }_k{\lambda }_k=\Vert a{\Vert }^2$; it does not force the displayed logarithm to vanish.

For a stipulated two-direction example, take $a=(1,0{)}^{\mathsf{T}}$, $c=0.9$ and one nonzero eigenvalue 0.1. If that eigenvalue lies along the reading direction, $B=\mathrm{diag}(0.1,0)$ and the mean ratio is about 0.9578. Rotating it into the independent direction, $B=\mathrm{diag}(0,0.1)$, gives about 1.00235. Both estimates have the form $0.9+0.1Z_1^2$ in distribution, and both have mean one. Only their joint relationship to $d$ changes.

A small-$B$ expansion, with $c=\Vert a{\Vert }^2-\mathrm{tr}B\ge 0$, makes the distinction sharper:The shared-direction term can appear at first order; the independent-direction contribution begins differently. All examples are probability calculations, not measured receiver performance.

In an actual analysis, build $a$ and $B$ from the stated measurement model and reused calibration records. JCGM 101 distinguishes input-distribution assignment from propagation and provides multivariate Gaussian inputs as one particular joint model.^[ref] Agreement of a Monte Carlo method with the exact formula checks implementation conditional on those inputs. It does not establish that Gaussian residuals or a quadratic variance estimator describe the physical experiment.