[SciPy-Dev] Include Allan variance estimators in SciPy

[Ralf Gommers]

On Fri, Jan 13, 2017 at 1:39 AM, Daniele Nicolodi <daniele at 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
>
> [0] https://en.wikipedia.org/wiki/Allan_variance
>
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