Total Variance as an Exact Analysis of the Sample Variance

D.B. Percival, D.A. Howe

Abstract:	Given a sequence of fractional frequency deviates, we investigate the relationship between the sample variance of these deviates and the total variance (Totvar) estimator of the Allan variance. We demonstrate that we can recover exactly twice the sample variance by renormalizing the Totvar estimator and then summing it over dyadic averaging times 1, 2, 4, . . . , 2 along with one additional term that represents variations at all dyadic averaging times greater than 2. This decomposition of the sample variance mimics a similar theoretical decomposition in which summing the true Allan variance over all possible dyadic averaging times yields twice the process variance. We also establish a relationship between the Totvar estimator of the Allan variance and a biased maximal overlap estimator that uses a circularized version of the original fractional frequency deviates.
Published in:	Proceedings of the 29th Annual Precise Time and Time Interval Systems and Applications Meeting December 2 - 4, 1997 Sheraton Long Beach Hotel Long Beach, California
Pages:	97 - 106
Cite this article:	Percival, D.B., Howe, D.A., "Total Variance as an Exact Analysis of the Sample Variance," Proceedings of the 29th Annual Precise Time and Time Interval Systems and Applications Meeting, Long Beach, California, December 1997, pp. 97-106.
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