On the Accuracy of Error Propagation Calculations by Analytic Formulas Obtained for the Inverse Transformation
Keywords:error propagation, variance, mean value, normal distribution
The accuracy of error propagation calculations is estimated for the transformation x → y = f(x) of the normally distributed random variable x. The estimation is based on the formulas for the error propagation obtained for the inverse transformation y → x of the normally distributed random variable y. In the general case, the calculation accuracy for the mean value and the variance of the random variable y is shown to be of the first order of magnitude in the variance of the random variable x.
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