Propagation of Uncertainty

Propagation of uncertainty using higher-order Taylor expansion and Monte Carlo simulation. Calculations of propagated uncertainties are based on matrix calculus including covariance structure according to Arras 1998 (first order), Wang & Iyer 2005 (second order) and BIPM Supplement 1 (Monte Carlo) .

propagate: Propagation of uncertainty using higher-order Taylor expansion and Monte Carlo simulation (R-package)

propagate is an R package that can conduct uncertainty propagation based on first- and second-order Taylor expansion as well as Monte Carlo simulation. It also houses functionality to estimate confidence and prediction intervals for nonlinear models, create large correlation matrices and automatic distribution fitting.

Installation

You can install the latest development version of the code using the devtools R package.

# Install devtools, if you haven't already.
install.packages("devtools")
library(devtools)
install_github("anspiess/propagate")
source("https://install-github.me/anspiess/propagate")