Related papers: The Parabolic variance (PVAR), a wavelet variance …
Oscillator fluctuations are described as the phase or frequency noise spectrum, or in terms of a wavelet variance as a function of the measurement time. The spectrum is generally approximated by the `power law,' i.e., a Laurent polynomial…
The Allan variance (AVAR) was introduced 50 years ago as a statistical tool for assessing of the frequency standards deviations. For the past decades, AVAR has increasingly being used in geodesy and astrometry to assess the noise…
The use of Allan variance to characterize the stability of optical signals affected by stochastic polarization fluctuations and the identification of the underlying power law noise processes is explored. Allan variance can ease the…
Let Y be a response variable related with a set of explanatory variables and let f1, f2, ..., fk be a set of the parametric forms representing a set of candidate's model. Let f* be the true model among the set of k plausible models. We…
We consider the nonparametric estimation problem of time-dependent multivariate functions observed in a presence of additive cylindrical Gaussian white noise of a small intensity. We derive minimax lower bounds for the $L^2$-risk in the…
Allan variance (AVAR) was first introduced more than 40 years ago as a estimator of the stability of frequency standards, and now it is actively used for investigations of time series in astronomy, geodesy and geodynamics. This method…
We present a new approach-the ALVar estimator-to estimation of asymptotic variance in sequential Monte Carlo methods, or, particle filters. The method, which adjusts adaptively the lag of the estimator proposed in [Olsson, J. and Douc, R.…
The Allan Variance (AV) is a widely used quantity in areas focusing on error measurement as well as in the general analysis of variance for autocorrelated processes in domains such as engineering and, more specifically, metrology. The form…
This article introduces the {\Omega} counter, a frequency counter -- or a frequency-to-digital converter, in a different jargon -- based on the Linear Regression (LR) algorithm on time stamps. We discuss the noise of the electronics. We…
This paper proposes a wavelet-based method for analysing periodic autoregressive moving average (PARMA) time series. Even though Fourier analysis provides an effective method for analysing periodic time series, it requires the estimation of…
One limitation on the performance of optical traps is the noise inherently present in every setup. Therefore, it is the desire of most experimentalists to minimize and possibly eliminate noise from their optical trapping experiments. A step…
Local projections (LP) and vector autoregressions (VAR) are the two standard tools for impulse response analysis, but they often display a finite-sample trade-off: LP is typically less biased but more volatile, while VAR is more precise but…
The Omega-preprocessing was introduced to improve phase noise rejection by using a least square algorithm. The associated variance is the PVAR which is more efficient than MVAR to separate the different noise types. However, unlike AVAR and…
In multivariate time series analysis, spectral coherence measures the linear dependency between two time series at different frequencies. However, real data applications often exhibit nonlinear dependency in the frequency domain.…
A new realized conditional autoregressive Value-at-Risk (VaR) framework is proposed, through incorporating a measurement equation into the original quantile regression model. The framework is further extended by employing various Expected…
This article develops the asymptotic distribution of the least squares estimator of the model parameters in periodicvector autoregressive time series models (hereafter PVAR) with uncorrelated but dependent innovations. When theinnovations…
In order to reach the sensitivity required to detect gravitational waves, pulsar timing array experiments need to mitigate as much noise as possible in timing data. A dominant amount of noise is likely due to variations in the dispersion…
We report a quantitative evaluation of weak-value amplification (WVA) for longitudinal phase measurements using Allan variance analysis. Building on a recent double-slit interferometry experiment with real weak values [Phys. Rev. Lett. 134,…
The Allan variance was introduced fifty years ago for analyzing the stability of frequency standards. Beside its metrological interest, it is also an estimator of the large trends of the power spectral density (PSD) of frequency deviation.…
I present an analytic method for estimating the errors in fitting a distribution. A well-known theorem from statistics gives the minimum variance bound (MVB) for the uncertainty in estimating a set of parameters $\l_i$, when a distribution…