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Using the autocorrelation function to characterize time series of voltage measurements

Thomas J Witt

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The 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, {\rm var}(\bar{X}) , 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 {\rm var}(\bar{X}) 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) = phik, phi = exp(−4Bτ0) < 1 is the ACF of a first-order autoregressive process, AR(1), for which {\rm var}(\bar{X}) is readily evaluated in terms of phi; (3) by estimating {\rm var}(\bar{X}) from the sample ACF, \hat{\rho}(k) , 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 {\rm var}(\bar{X}) from \hat{\rho}(k) , assuming that the data may be described by a moving average process with a cut-off lag deduced from the \hat{\rho}(k) themselves. The values of {\rm var}(\bar{X}) 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.


PACS

84.37.+q Electric variable measurements (including voltage, current, resistance, capacitance, inductance, impedance, and admittance, etc.)

06.20.Dk Measurement and error theory

Subjects

Electronics and devices

Instrumentation and measurement

Dates

Issue 3 (June 2007)

Received 7 February 2007

Published 14 May 2007



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