Include Allan variance estimators in SciPy
Hello, the Allan family of statistical estimators [0] (Allan variance, modified Allan variance, total variance) are extensively used in some research fields, like frequency metrology and related fields. While the algorithm to compute the Allan variance is quite straight forward, efficiently coding the modified Allan variance, or the estimator based on phase rather than on frequency samples, are a bit more tricky. I have implementations of those (in cython) that I would like to contribute to SciPy, most probably as an `scipy.stats.allan` module. Does people deem those interesting? Should I prepare a pull request to discuss the implementation? Thanks. Cheers, Daniele [0] https://en.wikipedia.org/wiki/Allan_variance
On Fri, Jan 13, 2017 at 1:39 AM, Daniele Nicolodi <daniele@grinta.net> wrote:
Hello,
the Allan family of statistical estimators [0] (Allan variance, modified Allan variance, total variance) are extensively used in some research fields, like frequency metrology and related fields.
While the algorithm to compute the Allan variance is quite straight forward, efficiently coding the modified Allan variance, or the estimator based on phase rather than on frequency samples, are a bit more tricky.
I have implementations of those (in cython) that I would like to contribute to SciPy, most probably as an `scipy.stats.allan` module. Does people deem those interesting? Should I prepare a pull request to discuss the implementation?
There was a reasonable amount of interest last time we discussed it [1] and it seems applicable in more than one field, so I'd say yes. A separate module is overkill though - a single function ``stats.allan`` with perhaps a keyword to select between the different variants of the algorithm might make sense? Cheers, Ralf [1] https://mail.python.org/pipermail/scipy-user/2013-March/034254.html
Thanks. Cheers, Daniele
On Jan 16, 2017 6:05 AM, "Ralf Gommers" <ralf.gommers@gmail.com> wrote: On Fri, Jan 13, 2017 at 1:39 AM, Daniele Nicolodi <daniele@grinta.net> wrote:
Hello,
the Allan family of statistical estimators [0] (Allan variance, modified Allan variance, total variance) are extensively used in some research fields, like frequency metrology and related fields.
While the algorithm to compute the Allan variance is quite straight forward, efficiently coding the modified Allan variance, or the estimator based on phase rather than on frequency samples, are a bit more tricky.
I have implementations of those (in cython) that I would like to contribute to SciPy, most probably as an `scipy.stats.allan` module. Does people deem those interesting? Should I prepare a pull request to discuss the implementation?
There was a reasonable amount of interest last time we discussed it [1] and it seems applicable in more than one field, so I'd say yes. A separate module is overkill though - a single function ``stats.allan`` with perhaps a keyword to select between the different variants of the algorithm might make sense? Cheers, Ralf [1] https://mail.python.org/pipermail/scipy-user/2013-March/034254.html
Thanks. Cheers, Daniele
_______________________________________________ SciPy-Dev mailing list SciPy-Dev@scipy.org https://mail.scipy.org/mailman/listinfo/scipy-dev Dear all, I just wanted to make a plug here for the allantools package by Anders Wallin (cc'ed), and to which I am a contributor. It was indispensable to me and, though not complete (what project ever is), it is nonetheless very comprehensive with respect to variance estimators and their uncertainty. Take a look and see if there might be something worth incorporating. Yours, Cantwell G. Carson
On Mon, Jan 16, 2017 at 9:23 AM, Cantwell Carson <carsonc@gmail.com> wrote:
On Jan 16, 2017 6:05 AM, "Ralf Gommers" <ralf.gommers@gmail.com> wrote:
On Fri, Jan 13, 2017 at 1:39 AM, Daniele Nicolodi <daniele@grinta.net> wrote:
Hello,
the Allan family of statistical estimators [0] (Allan variance, modified Allan variance, total variance) are extensively used in some research fields, like frequency metrology and related fields.
While the algorithm to compute the Allan variance is quite straight forward, efficiently coding the modified Allan variance, or the estimator based on phase rather than on frequency samples, are a bit more tricky.
I have implementations of those (in cython) that I would like to contribute to SciPy, most probably as an `scipy.stats.allan` module. Does people deem those interesting? Should I prepare a pull request to discuss the implementation?
There was a reasonable amount of interest last time we discussed it [1] and it seems applicable in more than one field, so I'd say yes.
A separate module is overkill though - a single function ``stats.allan`` with perhaps a keyword to select between the different variants of the algorithm might make sense?
Cheers, Ralf
[1] https://mail.python.org/pipermail/scipy-user/2013-March/034254.html
Thanks. Cheers, Daniele
_______________________________________________ SciPy-Dev mailing list SciPy-Dev@scipy.org https://mail.scipy.org/mailman/listinfo/scipy-dev
Dear all,
I just wanted to make a plug here for the allantools package by Anders Wallin (cc'ed), and to which I am a contributor. It was indispensable to me and, though not complete (what project ever is), it is nonetheless very comprehensive with respect to variance estimators and their uncertainty.
Take a look and see if there might be something worth incorporating.
allentools is GPLv3+, so any code would need to be relicensed to be compatible with BSD. Josef
Yours, Cantwell G. Carson
_______________________________________________ SciPy-Dev mailing list SciPy-Dev@scipy.org https://mail.scipy.org/mailman/listinfo/scipy-dev
participants (4)
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Cantwell Carson
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Daniele Nicolodi
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josef.pktd@gmail.com
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Ralf Gommers