Allan variance of time series models for measurement data

被引:37
|
作者
Zhang, Nien Fan [1 ]
机构
[1] Natl Inst Stand & Technol, Stat Engn Div, Gaithersburg, MD 20899 USA
关键词
D O I
10.1088/0026-1394/45/5/009
中图分类号
TH7 [仪器、仪表];
学科分类号
0804 ; 080401 ; 081102 ;
摘要
The uncertainty of the mean of autocorrelated measurements from a stationary process has been discussed in the literature. However, when the measurements are from a non-stationary process, how to assess their uncertainty remains unresolved. Allan variance or two-sample variance has been used in time and frequency metrology for more than three decades as a substitute for the classical variance to characterize the stability of clocks or frequency standards when the underlying process is a 1/f noise process. However, its applications are related only to the noise models characterized by the power law of the spectral density. In this paper, from the viewpoint of the time domain, we provide a statistical underpinning of the Allan variance for discrete stationary processes, random walk and long-memory processes such as the fractional difference processes including the noise models usually considered in time and frequency metrology. Results show that the Allan variance is a better measure of the process variation than the classical variance of the random walk and the non-stationary fractional difference processes including the 1/f noise.
引用
下载
收藏
页码:549 / 561
页数:13
相关论文
共 50 条
  • [31] Fast Allan Variance (FAVAR) and Dynamic Fast Allan Variance (D-FAVAR) Algorithms for both Regularly and Irregularly Sampled Data
    Maddipatla, Satya Prasad
    Haeri, Hossein
    Jerath, Kshitij
    Brennan, Sean
    IFAC PAPERSONLINE, 2021, 54 (20): : 26 - 31
  • [32] On the Variance of Antithetic Time Series
    Ridley, Dennis
    Ngnepieba, Pierre
    EUROPEAN JOURNAL OF PURE AND APPLIED MATHEMATICS, 2015, 8 (04): : 431 - 449
  • [33] Multivariate time series models for mixed data
    Debaly, Zinsou-Max
    Truquet, Lionel
    BERNOULLI, 2023, 29 (01) : 669 - 695
  • [34] Deep time series models for scarce data
    Wang, Qiyao
    Farahat, Ahmed
    Gupta, Chetan
    Zheng, Shuai
    NEUROCOMPUTING, 2021, 456 : 504 - 518
  • [35] Robust filtering for gene expression time series data with variance constraints
    Wei, Guoliang
    Wang, Zidong
    Shu, Huisheng
    Fraser, Karl
    Liu, Xiaohui
    INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS, 2007, 84 (05) : 619 - 633
  • [36] A Study on Variance Change Point Detection for Time Series Data in Progress
    Choi, Hyun Seok
    Kang, Hoon Kyu
    Song, Gyu Moon
    Kim, Tae Yoon
    KOREAN JOURNAL OF APPLIED STATISTICS, 2006, 19 (02) : 369 - 377
  • [37] ONE-WAY ANALYSIS OF VARIANCE WITH TIME-SERIES DATA
    YANG, MCK
    CARTER, RL
    BIOMETRICS, 1983, 39 (03) : 747 - 751
  • [38] On the cusum of squares test for variance change in nonstationary and nonparametric time series models
    Sangyeol Lee
    Okyoung Na
    Seongryong Na
    Annals of the Institute of Statistical Mathematics, 2003, 55 : 467 - 485
  • [39] A JOINT PORTMANTEAU TEST FOR CONDITIONAL MEAN AND VARIANCE TIME-SERIES MODELS
    Velasco, Carlos
    Wang, Xuexin
    JOURNAL OF TIME SERIES ANALYSIS, 2015, 36 (01) : 39 - 60
  • [40] On the cusum of squares test for variance change in nonstationary and nonparametric time series models
    Lee, S
    Na, O
    Na, S
    ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 2003, 55 (03) : 467 - 485