Thomas J Witt 2007 Metrologia 44 201 doi:10.1088/0026-1394/44/3/006
Thomas J Witt
Show affiliationsThe standard deviation of the mean is the most common basis for specifying the statistical uncertainty of repeated measurements, yet it is often calculated incorrectly. The variance of the mean,
, of a time series of correlated measurements of a weakly stationary process is correctly expressed in terms of the autocorrelation function (ACF) at lag k, ρ(k). This approach is used to evaluate
for white voltage noise measured at regular time intervals τ0 through a low pass filter of bandwidth B by four methods: (1) by developing the expression ρ(k) = exp (−4Bτ0k) evaluated by estimating B from the sample spectrum; (2) by noting that ρ(k) =
k,
= exp(−4Bτ0) < 1 is the ACF of a first-order autoregressive process, AR(1), for which
is readily evaluated in terms of
; (3) by estimating
from the sample ACF,
, using the cut-off lag for an AR(1) process; and (4) by applying the general method recently proposed by Zhang (2006 Metrologia 43 S276–81), to estimate
from
, assuming that the data may be described by a moving average process with a cut-off lag deduced from the
themselves. The values of
from the four methods are in good agreement. This provides firm support to Zhang's method; this is important because of this method's wide scope of application.
Issue 3 (June 2007)
Received 7 February 2007
Published 14 May 2007
Thomas J Witt 2007 Metrologia 44 201
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