covmat_nswn function

Calculate Theoretical Covariance Matrix of Non-Stationary White Noise Process

This function allows us to calculate the theoretical covariance matrix of a non-stationary white noise process.

covmat_nswn(sigma2, n_total)

Arguments

• sigma2: A double value for the variance parameter $sigma^2$.
• n_total: An integer indicating the length of the whole non-stationary white noise process.

Returns

The theoretical covariance matrix of the non-stationary white noise process.

Note

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.

Examples

covmat1 = covmat_nswn(sigma2 = 1, n_total = 1000)
covmat2 = covmat_nswn(sigma2 = 2, n_total = 800)

Author(s)

Yuming Zhang