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When performing a fit using NonlinearModelFit (or any of Mathematica fitting functions, but I am particularly interested in nonlinear models), Mathematica makes a covariance matrix available for all the fit parameters.

I was wondering if anyone has an idea of how Mathematica does this error estimation on parameters?

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Similar to this? –  bobthechemist Dec 15 '13 at 15:18

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The statistics are computed from a linear approximation around the best fit. It is described in the Documentation Center -> Virtual Book under "Statistical Model Analysis" in the subsection on "Nonlinear Models".

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