acov: Empirical Allan covariance

In Yuming-Zhang/synimu: Scale-wise Variance Optimization

Empirical Allan covariance

Description

This function provides an empirical estimate of the Allan covariance given multiple processes. The detailed definition can be found in Equation (23) in Richard J. Vaccaro and Ahmed S. Zaki, "Reduced-Drift Virtual Gyro from an Array of Low-Cost Gyros".

Usage

acov(X)

Arguments

Xt	A matrix of dimension T by p, where T is the length of the time series and p is the number of processes.

Value

A list with the following structure:

• J: An integer indicating the maximum level.

• scales: A vector of the employed levels (m in [1]).

• covariance: A list of matrix for each level m of the estimated Allan covariance.

Author(s)

Davide Antonio Cucci

Yuming-Zhang/synimu documentation built on Jan. 29, 2023, 11:59 a.m.