allan_variance

Math.statistics.allan_variance(data)

Computes Allan variance

Definition of variance:

                          2
       sum (sample - mean)
var =  --------------------
          n_samples

Computes the variances obtained when data[] is grouped in ever larger groups, increasing by factors of two from groups of size two. Returns two lists, the first giving the group sizes and the seconds the variances. Only 2^N, where N = int(log(ndata,2)), data are used.

A set of Gaussian noise should produce ever smaller variations by sqrt(2) for the first group to the last.