covmat_ar1blocks {avar} | R Documentation |
This function allows us to calculate the theoretical covariance matrix of a non-stationary AR(1) blocks process.
covmat_ar1blocks(n_total, n_block, phi, sigma2)
n_total |
An |
n_block |
An |
phi |
A |
sigma2 |
A |
The theoretical covariance matrix
of the AR(1) blocks process.
This function helps calculate the theoretical covariance matrix of a non-stationary process, AR(1) blocks. It is helpful to calculate the theoretical allan variance of non-stationary processes, which can be used to compare with the theoretical allan variance of stationary processes as shown in "A Study of the Allan Variance for Constant-Mean Non-Stationary Processes" by Xu et al., 2017, IEEE Signal Processing Letters, 24(8): 1257–1260.
Yuming Zhang
covmat1 = covmat_ar1blocks(n_total = 1000, n_block = 10, phi = 0.9, sigma2 = 1) covmat2 = covmat_ar1blocks(n_total = 800, n_block = 20, phi = 0.5, sigma2 = 2)