boostrap_ci_avlr

Compute bootstrap confidence intervals for the AVLR estimator

internal

Implements the allan variance and allan variance linear regression estimator for latent time series models. More details about the method can be found, for example, in Guerrier, S., Molinari, R., & Stebler, Y. (2016) <doi:10.1109/LSP.2016.2541867>.

St<c3><a9>phane Guerrier

avar

Allan Variance

Stéphane Guerrier

James Balamuta

Gaetan Bakalli

Roberto Molinari

Justin Lee

Ahmed Radi

Haotian Xu

Yuming Zhang

Nathanael Claussen

Lionel Voirol

boostrap_ci_avlr function

<dl><dt>model</dt>
<dd>A <code>ts.model</code> object that was estimated with the avlr function.</dd>
<dt>B</dt>
<dd>A <code>double</code> for the number of bootsrap replicates to compute the confidence intervals.</dd>
<dt>n</dt>
<dd>A <code>double</code> with the sample size.</dd>
<dt>qn</dt>
<dd>A <code>vec</code> specifying on which scales the parameters of a Quantization Noise (QN) was computed.</dd>
<dt>wn</dt>
<dd>A <code>vec</code> specifying on which scales the parameters of a White Noise (WN) was computed.</dd>
<dt>rw</dt>
<dd>A <code>vec</code> specifying on which scales the parameters of a Random Wakk (RW) was computed.</dd>
<dt>dr</dt>
<dd>A <code>vec</code> specifying on which scales the parameters of a Drift (DR) was computed.</dd>
<dt>alpha</dt>
<dd>A <code>double</code> defining the level of the confidence interval (1 - `alpha`).</dd></dl>

Arguments

Compute bootstrap confidence intervals for the AVLR estimator — boostrap_ci_avlr

<dl>

<dt>model</dt>
<dd>A <code>ts.model</code> object that was estimated with the avlr function.</dd>


<dt>B</dt>
<dd>A <code>double</code> for the number of bootsrap replicates to compute the confidence intervals.</dd>


<dt>n</dt>
<dd>A <code>double</code> with the sample size.</dd>


<dt>qn</dt>
<dd>A <code>vec</code> specifying on which scales the parameters of a Quantization Noise (QN) was computed.</dd>


<dt>wn</dt>
<dd>A <code>vec</code> specifying on which scales the parameters of a White Noise (WN) was computed.</dd>


<dt>rw</dt>
<dd>A <code>vec</code> specifying on which scales the parameters of a Random Wakk (RW) was computed.</dd>


<dt>dr</dt>
<dd>A <code>vec</code> specifying on which scales the parameters of a Drift (DR) was computed.</dd>


<dt>alpha</dt>
<dd>A <code>double</code> defining the level of the confidence interval (1 - `alpha`).</dd>

</dl>

Compute bootstrap confidence intervals for the AVLR estimator

boostrap_ci_avlr: Compute bootstrap confidence intervals for the AVLR estimator

Description

Usage

Value

Arguments