covmat_ar1blocks

This function allows us to calculate the theoretical covariance matrix of
a non-stationary AR(1) blocks process.

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

covmat_ar1blocks function

<dl><dt>n_total</dt>
<dd>An <code>integer</code> indicating the length of the whole AR(1) blocks process.</dd>
<dt>n_block</dt>
<dd>An <code>integer</code> indicating the length of each block of the AR(1) blocks process.</dd>
<dt>phi</dt>
<dd>A <code>double</code> value for the autocorrection parameter \(\phi\).</dd>
<dt>sigma2</dt>
<dd>A <code>double</code> value for the variance parameter \(\sigma ^2\).</dd></dl>

Arguments

Author

Calculate Theoretical Covariance Matrix of AR(1) Blocks Process — covmat_ar1blocks

<dl>

<dt>n_total</dt>
<dd>An <code>integer</code> indicating the length of the whole AR(1) blocks process.</dd>


<dt>n_block</dt>
<dd>An <code>integer</code> indicating the length of each block of the AR(1) blocks process.</dd>


<dt>phi</dt>
<dd>A <code>double</code> value for the autocorrection parameter \(\phi\).</dd>


<dt>sigma2</dt>
<dd>A <code>double</code> value for the variance parameter \(\sigma ^2\).</dd>

</dl>

Calculate Theoretical Covariance Matrix of AR(1) Blocks Process

covmat_ar1blocks: Calculate Theoretical Covariance Matrix of AR(1) Blocks Process

Description

Usage

Value

Arguments

Author

Examples