covmat_nswn {avar} | R Documentation |
This function allows us to calculate the theoretical covariance matrix of a non-stationary white noise process.
covmat_nswn(sigma2, n_total)
sigma2 |
A |
n_total |
An |
The theoretical covariance matrix
of the non-stationary white noise process.
This function helps calculate the theoretical covariance matrix of a non-stationary process, non-stationary white noise. 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_nswn(sigma2 = 1, n_total = 1000) covmat2 = covmat_nswn(sigma2 = 2, n_total = 800)