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Noise Parameter Identification in Ensemble of Atomic Clocks

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Abstract

The paper introduces a parameter identification framework for atomic clock ensembles, where individual clocks are represented by second-order linear stochastic state-space model. The proposed procedure relies exclusively on differential measurements, namely the pairwise phase differences between a designated pivot clock and the remaining ensemble members. The identification targets key parameters for each clock: white and random-walk frequency noise variances, constant frequency drift, and (co)variance of the measurement noise. To identify these parameters, two distinct identification methods are proposed. Their estimation accuracy is rigorously demonstrated via numerical simulations and validated using empirical data from atomic hydrogen maser (AHM) clocks at ESTEC Timing Laboratory.

Introduction

Precise timekeeping acts as the invisible backbone of modern infrastructure, synchronizing everything from global satellite navigation to high-frequency trading and distributed telecommunications [1], [2]. To guarantee extreme stability and robustness against individual hardware failures, high-quality time scales rely on ensembles of atomic clocks. While classical aggregation methods successfully reduce overall frequency instability, the next frontier in precision timekeeping demands a shift toward dynamic, model-based estimation approaches.

Parametric models such as state-space models can significantly enhance the stability and integrity of a time scale by incorporating prior knowledge of clock behavior. However, the efficacy of these model-based algorithms is fundamentally bounded by the accuracy of their underlying stochastic models. Real-world atomic clocks exhibit complex, often correlated noise profiles that are notoriously difficult to isolate and quantify. Therefore, the robust identification of noise parameters within an ensemble is a critical prerequisite. Overcoming this parameter identification challenge enables optimal weighting strategies and the timely detection of anomalies, bridging the gap between theoretical clock models and maximum real-world performance.

Although stochastic clock modeling and noise identification have been studied for decades, reliable estimation remains difficult in practical scenarios characterized by limited data records, correlated observations, and incomplete observability of individual clocks. Moreover, several theoretical aspects of the problem remain open, particularly regarding identifiability, sub-space unobservability, estimator consistency, or the statistical characterization of estimation uncertainty under realistic operating conditions. Furthermore, existing approaches predominantly address isolated aspects of the problem, seldom offering a unified framework that is simultaneously comprehensive, computationally efficient, and practically applicable.

Related Works

An ensemble of atomic clock is an underlying component of many applications that range from timekeeping to positioning. A successful operation of an ensemble relies on several algorithms that provide anomaly monitoring, clock combination, or clock steering. Pioneering clock combination algorithms are adaptive and only little information about clocks in the ensemble is required to initialize these algorithms [3]. On the other hand, there are algorithms which assume that a complete model of the clock ensemble is available [2], [4]. Therefore, there has been a concentrated effort devoted to clock ensemble identification. Since the the underlying dynamic is given by law of physics, the main effort is concentrated on estimating the parameters of the noises.

The parameter estimation method is tightly related to a selected model. Although there are some works focusing on ARIMA models [5], [6], most of the works related to the clock ensemble identification are based on the state space models [7] that are physically interpretable. A particular attention was devoted to the estimation of the frequency drift [8] from time deviations, the first order difference of time deviations (i.e. average normalized frequency deviations), and the second order difference of time deviations.

One approach to noise parameter identification is based on the maximum likelihood estimation method [9, 10, 11], where estimates of unknown model parameters are found to maximize the likelihood of measurements [12]. The likelihood of measurement is written using a chain rule as the product of measurement predictive probability density functions that are obtained using the Kalman filter. Missing measurements can be handled rather easily and apparent measurement outliers can be removed while constructing the likelihood. A potential drawback of the maximum likelihood estimation is the necessity of relying on an iterative optimization method as the likelihood is a nonlinear function of model parameters. To avoid negative variance estimates, either explicit constrained optimization is performed or variances are replaced by positive functions of auxiliary variables.

Another approach to noise parameter identification is based on the three-cornered-hat method that allows variances of three independent random variables to be estimated even if only samples of their pair-wise differences are available. This idea was applied to Allan variance (AVAR) plots under the assumption of noise-free measurements and independent internal noises of clocks in [13]. If more than three clocks are available, triads are formed and parameter estimated. Later on, the three-cornered-hat method has been extended to m-cornered-hat method [14] where a comparison with maximum likelihood method is given for a rather simplified ensemble model. The m-cornered-hat method also suffers from possibility of getting negative variance estimates. Several reasons for this issue are discussed in literature. The variance estimate uncertainty due to insufficient number of measurements is suspected in [13]. In [15], the measurement noise that influences the AVAR plot for short averaging intervals is suspected as a possible reason and the Groslambert covariance (Allan covariance (ACOV)) [16] is used instead of the AVAR under the assumption that the measurement noises are uncorrelated to make covariance estimates independent of measurement noise. A more in-depth discussion of possible reasons was given in [17]. It was argued that most commonly considered reasons in literature are not plausible and conclude that the clock noises should be admitted to be correlated. However, it makes the variance estimation problem ambiguous. These issue is discussed for the three-cornered-hat method in [17] and this discussion is extended to the m-cornered-hat method in [18] and [19].

Contribution

This paper addresses the problem of identifying noise parameters in a clock ensemble following the standard approach of utilizing differential measurements between a selected pivot clock and the remaining clocks. The main objective is to develop an effective identification method tailored to this measurement configuration, enabling reliable estimation of ensemble noise characteristics under realistic observational constraints.

Two noise parameter estimation methods are presented in this paper. The first one represents the extension of an underlying correlation approach for noise identification presented in [20]. Note that this approach was considered in the context of the clock ensemble identification in [21] but with unrealistic assumptions regarding the direct measurement of time deviations. The second presented methods builds upon the Hadamard covariance (HCOV) and m-cornered-hat method.

This is similar to the concept in [15], [22], where, however, the authors use Allan covariance and highlight its advantages over the conventional three-cornered-hat method. Both designed identification methods represent an original approach; they are broadly applicable to a wide class of ensemble atomic clocks. Moreover, their design is transparent and builds on the strong theoretical foundation of linear estimation.

A Clock and Ensemble Model Definition

The paper follows the standard modeling on atomic clock [7]. It is assumed that the ii-th clock of an ensemble can be described at a time step k=0,1,2…,Nk = 0, 1, 2 \ldots, N by a second-order discrete-time state-space model2

xk+1(i)=F1xk(i)+μ(i)+wk(i),(1)\mathbf{x}_{k+1}^{(i)} = \mathbf{F}_1\mathbf{x}_k^{(i)} + \boldsymbol{\mu}^{(i)} + \mathbf{w}_k^{(i)}, \tag*{(1)}
Δk(i)=h1Txk(i),(2)\Delta_k^{(i)} = \mathbf{h}_1^{\mathrm{T}}\mathbf{x}_k^{(i)}, \tag*{(2)}

where xk(i)=[x1,k(i),x2,k(i)]T∈R2\mathbf{x}_k^{(i)} = [x_{1,k}^{(i)}, x_{2,k}^{(i)}]^{\mathrm{T}} \in\mathbb{R}^{2} is a state consisting of a time deviation x1,k(i)∈Rx_{1,k}^{(i)} \in\mathbb{R} and a random walk process x2,k(i)∈Rx_{2,k}^{(i)} \in\mathbb{R}, μ(i)∈R2\boldsymbol{\mu}^{(i)} \in\mathbb{R}^{2} is a drift term, wk(i)∈R2\mathbf{w}_k^{(i)} \in\mathbb{R}^{2} is a zero mean white Gaussian state noise with covariance matrix (CM) Q(i)∈R2×2\mathbf{Q}^{(i)} \in\mathbb{R}^{2 \times2}, and Δk(i)∈R\Delta_k^{(i)} \in\mathbb{R} is a time deviation. The matrices F1\mathbf{F}_1, Q(i)\mathbf{Q}^{(i)} and vectors h1\mathbf{h}_1, μ(i)\boldsymbol{\mu}^{(i)} are given as

F1=[1Ts01],h1T=[10],μ(i)=d(i)[Ts2/2Ts],(3)\mathbf{F}_1 = \begin{bmatrix} 1 & T_s \\ 0 & 1 \end{bmatrix}, \quad \mathbf{h}_1^{\mathrm{T}} = \begin{bmatrix} 1 & 0 \end{bmatrix}, \quad \boldsymbol{\mu}^{(i)} = d^{(i)} \begin{bmatrix} T_s^2/2 \\ T_s \end{bmatrix}, \tag*{(3)}
Q(i)=[q1(i)Ts+q2(i)Ts3/3q2(i)Ts2/2q2(i)Ts2/2q2(i)Ts],\mathbf{Q}^{(i)} = \begin{bmatrix} q_1^{(i)}T_s + q_2^{(i)}T_s^3/3 & q_2^{(i)}T_s^2/2 \\ q_2^{(i)}T_s^2/2 & q_2^{(i)}T_s \end{bmatrix},

where Ts∈R++T_s \in\mathbb{R}^{++} is a sampling period in seconds, d(i)∈Rd^{(i)} \in\mathbb{R} is a frequency drift, and q1(i)∈R++q_1^{(i)} \in\mathbb{R}^{++} and q2(i)∈R++q_2^{(i)} \in\mathbb{R}^{++} denote intensities of original continuous-time stochastic processes that represent the white noise frequency modulation and random walk frequency modulation, respectively.

The model of ensemble of nn clocks can be defined as

xk+1=Fxk+μ+wk,(4)\mathbf{x}_{k+1} = \mathbf{F}\mathbf{x}_k + \boldsymbol{\mu} + \mathbf{w}_k, \tag*{(4)}
zk=Hxk+vk,(5)\mathbf{z}_k = \mathbf{H}\mathbf{x}_k + \mathbf{v}_k, \tag*{(5)}

where xk∈R2n\mathbf{x}_k \in\mathbb{R}^{2n} is an ensemble state, μ∈R2n\boldsymbol{\mu} \in\mathbb{R}^{2n} is ensemble drift, wk∈R2n\mathbf{w}_k \in\mathbb{R}^{2n} is an ensemble state noise with zero mean and CM Q∈R2n×2n\mathbf{Q} \in\mathbb{R}^{2n \times2n}, zk∈Rnz\mathbf{z}_k \in\mathbb{R}^{n_z} is a measurement containing nz=n−1n_z = n - 1 differences of time deviations of a pivot clock and all other clocks, and vk∈Rnz\mathbf{v}_k \in\mathbb{R}^{n_z} is a white Gaussian measurement noise with zero mean and CM R∈Rnz×nz\mathbf{R} \in\mathbb{R}^{n_z \times n_z}. The vectors and matrices are given as

xk=vertcat⁡(xk(1),xk(2),…,xk(n)),(6)\mathbf{x}_k = \operatorname{vertcat}\left(\mathbf{x}_k^{(1)}, \mathbf{x}_k^{(2)}, \ldots, \mathbf{x}_k^{(n)}\right), \tag*{(6)}
wk=vertcat⁡(wk(1),wk(2),…,wk(n))(7)\mathbf{w}_k=\operatorname{vertcat}\left(\mathbf{w}_k^{(1)},\mathbf{w}_k^{(2)},\ldots,\mathbf{w}_k^{(n)}\right) \tag*{(7)}
zk=[z1,k,z2,k,…,znz,k]T(8)\mathbf{z}_k=\left[z_{1,k},z_{2,k},\ldots,z_{n_z,k}\right]^{\mathsf{T}} \tag*{(8)}
F=In⊗F1,H=C(In⊗h1T)(9)\mathbf{F}=\mathbf{I}_n\otimes\mathbf{F}_1,\quad\mathbf{H}=\mathbf{C}\left(\mathbf{I}_n\otimes\mathbf{h}_1^{\mathsf{T}}\right) \tag*{(9)}
μ=vertcat⁡(μ(1),μ(2),…,μ(n))(10)\boldsymbol{\mu}=\operatorname{vertcat}\left(\boldsymbol{\mu}^{(1)},\boldsymbol{\mu}^{(2)},\ldots,\boldsymbol{\mu}^{(n)}\right) \tag*{(10)}
Q=diag⁡(Q(1),Q(2),…,Q(n))(11)\mathbf{Q}=\operatorname{diag}\left(\mathbf{Q}^{(1)},\mathbf{Q}^{(2)},\ldots,\mathbf{Q}^{(n)}\right) \tag*{(11)}

where C=[−1nz,Inz]∈Rnz×n\mathbf{C}=[-\mathbf{1}_{n_z},\mathbf{I}_{n_z}]\in\mathbb{R}^{n_z\times n} is a matrix that specifies the first clock in the ensemble to be the pivot clock.

Problem Formulation

In principle, the problem does not permit an unambiguous estimation of the frequency drift of all clocks. Therefore, a common approach is to assume zero drift for the pivot clock and estimate the remaining drifts relative to it, i.e., the estimate the drift differences between the pivot and the other clocks in the ensemble. Thus, let’s define a vector of unknown model parameters as

θ=[q1T,q2T,rT,dT]T=[θaT,dT]T,(12)\boldsymbol{\theta}=\left[\mathbf{q}_1^{\mathsf{T}},\mathbf{q}_2^{\mathsf{T}},\mathbf{r}^{\mathsf{T}},\mathbf{d}^{\mathsf{T}}\right]^{\mathsf{T}}=\left[\boldsymbol{\theta}_a^{\mathsf{T}},\mathbf{d}^{\mathsf{T}}\right]^{\mathsf{T}}, \tag*{(12)}

where θ∈Rnθ\boldsymbol{\theta}\in\mathbb{R}^{n_\theta} with nθ=(n2+5n−2)/2n_\theta=(n^2+5n-2)/2 denoting the number of the unknown parameters, q1T=[q1(1),q1(2),…,q1(n)]∈Rn\mathbf{q}_1^{\mathsf{T}}=[q_1^{(1)},q_1^{(2)},\ldots,q_1^{(n)}]\in\mathbb{R}^n, q2T=[q2(1),q2(2),…,q2(n)]∈Rn\mathbf{q}_2^{\mathsf{T}}=[q_2^{(1)},q_2^{(2)},\ldots,q_2^{(n)}]\in\mathbb{R}^n, rT=vecu⁡(R)∈Rnr\mathbf{r}^{\mathsf{T}}=\operatorname{vecu}(\mathbf{R})\in\mathbb{R}^{n_r} collects elements of the upper triangular CM R\mathbf{R} with nr=(n2−n)/2n_r=(n^2-n)/2 and dT=[d(2),d(3),…,d(n)]∈Rn−1\mathbf{d}^{\mathsf{T}}=[d^{(2)},d^{(3)},\ldots,d^{(n)}]\in\mathbb{R}^{n-1}. The vector θa∈Rnθa\boldsymbol{\theta}_a\in\mathbb{R}^{n_{\theta_a}} with nθa=n(n+3)/2n_{\theta_a}=n(n+3)/2 collects parameters q1(i)q_1^{(i)}, q2(i)q_2^{(i)} and RijR_{ij}.

Goal: Given a model (F,H,Ts)(\mathbf{F},\mathbf{H},T_s) and an available sequence of measurements z0:N\mathbf{z}_{0:N}, the unknown model parameters θ\boldsymbol{\theta} are estimated as

θ^=arg⁡min⁡θ J(θ,z0:N),(13)\hat{\boldsymbol{\theta}}=\underset{\boldsymbol{\theta}}{\arg\min}\ J(\boldsymbol{\theta},\mathbf{z}_{0:N}), \tag*{(13)}

where J:Rnθ×(N+1)nz↦R++J:\mathbb{R}^{n_\theta\times(N+1)n_z}\mapsto\mathbb{R}^{++} is a designer-selected criterion.

Identification Methods

In this section two methods for estimating the model parameters are presented. Contrary to the standard maximum likelihood methods, both proposed methods aim to avoid solving large non-linear optimization problems by using a suitable transformation of available measurements.

Method based on Hadamard covariance (HCOV)

The basic idea is to use HCOV, whose unique properties enable (i) transformation into a linear optimization problem and (ii) elimination of drift effects, allowing the drift estimation problem to be treated separately.

HCOV Transformation

The HCOV can be defined for measurement sequences {zi,k}k=0∞\{z_{i,k}\}_{k=0}^{\infty} and {zj,k}k=0∞\{z_{j,k}\}_{k=0}^{\infty} as

σi,j2(τm)=16τm2E{(zi,k+3m−3zi,k+2m+3zi,k+m−zi,k)\sigma_{i,j}^{2}(\tau_m)=\frac{1}{6\tau_m^2}\mathbb{E}\left\{(z_{i,k+3m}-3z_{i,k+2m}+3z_{i,k+m}-z_{i,k})\right.
×(zj,k+3m−3zj,k+2m+3zj,k+m−zj,k)},(14)\left.\times(z_{j,k+3m}-3z_{j,k+2m}+3z_{j,k+m}-z_{j,k})\right\}, \tag*{(14)}

where τm=mTs∈R++\tau_m=mT_s\in\mathbb{R}^{++} is an averaging time with m∈Nm\in\mathbb{N}. The ensemble model (4)–(5) and the theory of stochastic processes can be employed (see Appendix A) to get an analytical expression that relates the model parameters θ\boldsymbol{\theta} to the HCOV σi,j2(τm)\sigma_{i,j}^{2}(\tau_m). If i≠ji\ne j, the HCOV is given as

σi,j2(τm)=q1(1)τm+q2(1)6τm+10Rij3τm2.(15)\sigma_{i,j}^{2}(\tau_m)=\frac{q_1^{(1)}}{\tau_m}+\frac{q_2^{(1)}}{6}\tau_m+\frac{10R_{ij}}{3\tau_m^2}. \tag*{(15)}

If j=ij=i the HCOV reduces to Hadamard variance (HVAR) and it is given as

σi,i2(τm)=q1(1)+q1(i+1)τm+q2(1)+q2(i+1)6τm+10Rii3τm2.(16)\sigma_{i,i}^{2}(\tau_m)=\frac{q_1^{(1)}+q_1^{(i+1)}}{\tau_m}+\frac{q_2^{(1)}+q_2^{(i+1)}}{6}\tau_m+\frac{10R_{ii}}{3\tau_m^2}. \tag*{(16)}

The expressions (15)–(16) show that for a fixed τm\tau_m, the HCOV/HVAR are linear functions of all model parameters except for the drifts on which they are independent.

Regression model

Assuming that HCOV estimates σ^i,j2∈Rt\hat{\sigma}_{i,j}^{2}\in\mathbb{R}^{t} are computed using (14) where the expectation operator is evaluated as the sample mean with measurements z0:N\mathbf{z}_{0:N} for tt different averaging times τ‾=[τˉ1,τˉ2,…,τˉt]∈Rt\overline{\boldsymbol{\tau}}=[\bar{\tau}_1,\bar{\tau}_2,\ldots,\bar{\tau}_t]\in\mathbb{R}^{t}, where τˉp=mpTs\bar{\tau}_p=m_pT_s with mp∈{1,2,…,N}m_p\in\{1,2,\ldots,N\}. Then, it is possible to use (15)–(16) to write the following linear regression model

za=Φθa+ϵ,(17)\mathbf{z}_a=\boldsymbol{\Phi}\boldsymbol{\theta}_a+\boldsymbol{\epsilon}, \tag*{(17)}

where za∈Rnza\mathbf{z}_a\in\mathbb{R}^{n_{z_a}} is a vector given as

za=vertcat⁡(σ^1,22,σ^2,22,…,σ^nz,nz2,σ^1,32,…,σ^nz−1,nz2)(18)\mathbf{z}_a=\operatorname{vertcat}\left(\hat{\sigma}_{1,2}^{2},\hat{\sigma}_{2,2}^{2},\ldots,\hat{\sigma}_{n_z,n_z}^{2},\hat{\sigma}_{1,3}^{2},\ldots,\hat{\sigma}_{n_z-1,n_z}^{2}\right) \tag*{(18)}

with nza=n(n−1)t/2n_{z_a}=n(n-1)t/2. The regression matrix Φ∈Rnza×nθa\boldsymbol{\Phi}\in\mathbb{R}^{n_{z_a}\times n_{\theta_a}} is defined as

Φ=[A1⊗(φ[100]),A1⊗(φ[010]),A2⊗(φ[001])](19)\boldsymbol{\Phi}=\left[\mathbf{A}_1\otimes\left(\varphi\begin{bmatrix}1\\0\\0\end{bmatrix}\right),\mathbf{A}_1\otimes\left(\varphi\begin{bmatrix}0\\1\\0\end{bmatrix}\right),\mathbf{A}_2\otimes\left(\varphi\begin{bmatrix}0\\0\\1\end{bmatrix}\right)\right] \tag*{(19)}

where

φ=vertcat⁡(φ1,φ2,…,φt),φi=[1τiτi6103τi2],(20)\varphi=\operatorname{vertcat}(\varphi_1,\varphi_2,\ldots,\varphi_t),\quad\varphi_i=\begin{bmatrix}\frac{1}{\tau_i}&\frac{\tau_i}{6}&\frac{10}{3\tau_i^2}\end{bmatrix}, \tag*{(20)}
A1=[1nz1nz1nf0nf×nz],A2=[Inz0nz×nf0nf×nzInf],(21)\mathbf{A}_1=\begin{bmatrix}\mathbf{1}_{n_z}&\mathbf{1}_{n_z}\\\mathbf{1}_{n_f}&\mathbf{0}_{n_f\times n_z}\end{bmatrix},\quad \mathbf{A}_2=\begin{bmatrix}\mathbf{I}_{n_z}&\mathbf{0}_{n_z\times n_f}\\\mathbf{0}_{n_f\times n_z}&\mathbf{I}_{n_f}\end{bmatrix}, \tag*{(21)}

and nf=nz(nz−1)/2n_f=n_z(n_z-1)/2. The HCOV estimation error ϵ∈Rnza\boldsymbol{\epsilon}\in\mathbb{R}^{n_{z_a}} has zero mean. Since the true CM of ϵ\boldsymbol{\epsilon} is difficult to obtain, it is approximated by a diagonal CM Rθa∈Rnza×nza\mathbf{R}_{\theta_a}\in\mathbb{R}^{n_{z_a}\times n_{z_a}} where each diagonal element represents the corresponding variance. Specifically, the variance of HCOV estimate σ^i,j2(τˉp)\hat{\sigma}_{i,j}^{2}(\bar{\tau}_p) can be obtained [23] from the properties of the Wishart distribution or as the variance of the sample covariance, where it is assumed that the signals are jointly Gaussian. Then, it can be written

var⁡{σ^i,j2(τˉp)}≈[(σ^i,j2(τˉp))2+σ^i,i2(τˉp)σ^j,j2(τˉp)]/ν.(22)\operatorname{var}\left\{\hat{\sigma}_{i,j}^{2}(\bar{\tau}_p)\right\}\approx\left[\left(\hat{\sigma}_{i,j}^{2}(\bar{\tau}_p)\right)^2+\hat{\sigma}_{i,i}^{2}(\bar{\tau}_p)\hat{\sigma}_{j,j}^{2}(\bar{\tau}_p)\right]/\nu. \tag*{(22)}

This process involves two key approximations: substituting true (co)variances by their estimated values and reducing the degrees of freedom ν\nu to account for correlations in the measurement sequence. As ν\nu depends on the underlying noise process [24], adopting a random-walk frequency modulation (RWFM) model serves as a conservative choice with

ν≈N231/30⋅Nm−17/28⋅m2.(23)\nu\approx\frac{N^2}{31/30\cdot Nm-17/28\cdot m^2}. \tag*{(23)}

The estimate of the unknown parameters θa\boldsymbol{\theta}_a is obtained by solving the linear minimization problem (13) with the criterion

J(θa,z0:N)=∥Rθa−1/2(za−Φθa)∥2.(24)J(\boldsymbol{\theta}_a,\mathbf{z}_{0:N})=\left\|\mathbf{R}_{\theta_a}^{-1/2}\left(\mathbf{z}_a-\boldsymbol{\Phi}\boldsymbol{\theta}_a\right)\right\|^2. \tag*{(24)}

Note that the number of averaging times tt and their particular values represent design parameters.

  1. Drift Estimation: Now let us return to the problem of drift estimation. The several approaches can be discussed:

  • A regression analysis on the phase time-deviation sequence or its first and second differences using quadratic, linear, or constant models, respectively [24].

  • Modification of HCOV method, where HCOV is replaced by Allan covariance [22]. This approach leads to a nonlinear optimization problem and, moreover, does not enable determination of the drift sign.

  • Kalman filter based estimation, where the state-space model (1)–(5) can be re-casted such that the second order clock model (1)-(2) is replaced by the third order model, where the third state is the unknown constant drift.

  • Measurement difference method (MDM) approach (see below § 4-B4).

In the considered scenario of long and correlated data records, estimation of the drift d(i+1)d^{(i+1)} is performed by the first option. Concretely, a regression analysis is applied to the second difference of the ii-th component of zk\boldsymbol{z}_k

Δ2zi,k=(zi,k+2−2zi,k+1+zi,k)/Ts.(25)\Delta^2 z_{i,k} = (z_{i,k+2} - 2z_{i,k+1} + z_{i,k})/T_s. \tag*{(25)}

Then, for given the state-space model (1)–(2), the appropriate regression model is

Δ2zi,k=d(i+1)+εi,k.(26)\Delta^2 z_{i,k} = d^{(i+1)} + \varepsilon_{i,k}. \tag*{(26)}

Using the analogical procedure from Appendix A, it can be easily shown that {εi,k}\{\varepsilon_{i,k}\} is a moving average process of order 2 and satisfies

cov⁡(εi,k)=2(q1(i)+q1(i+1))Ts+2(q2(i)+q2(i+1))3Ts+6RiiTs2,(27)\operatorname{cov}(\varepsilon_{i,k}) = \frac{2(q_1^{(i)}+q_1^{(i+1)})}{T_s}+\frac{2(q_2^{(i)}+q_2^{(i+1)})}{3}T_s+\frac{6R_{ii}}{T_s^2}, \tag*{(27)}
cov⁡(εi,k,εi,k+1)=−q1(i)+q1(i+1)Ts+q2(i)+q2(i+1)6Ts−4RiiTs2,(28)\operatorname{cov}(\varepsilon_{i,k},\varepsilon_{i,k+1})=-\frac{q_1^{(i)}+q_1^{(i+1)}}{T_s}+\frac{q_2^{(i)}+q_2^{(i+1)}}{6}T_s-\frac{4R_{ii}}{T_s^2}, \tag*{(28)}
cov⁡(εi,k,εi,k+2)=Rii/Ts2.(29)\operatorname{cov}(\varepsilon_{i,k},\varepsilon_{i,k+2})=R_{ii}/T_s^2. \tag*{(29)}

It follows that the original strongly correlated integration process zk(i)\boldsymbol{z}_k^{(i)} was transformed into a process with a very short correlation length, which significantly simplifies the following linear optimization problem

d^(i+1)=arg⁡min⁡d∥(Rd(i))−1/2(Δ2zk(i)−d)∥2,(30)\hat{d}^{(i+1)}=\underset{d}{\arg\min}\left\|\left(R_d^{(i)}\right)^{-1/2}\left(\Delta^2\boldsymbol{z}_k^{(i)}-d\right)\right\|^2, \tag*{(30)}

where Rd(i)∈R(N−2)×(N−2)R_d^{(i)}\in\mathbb{R}^{(N-2)\times(N-2)} is an error CM. It has a band sparse structure with the (I,J)(I,J) term given as

RdI,J(i)=cov⁡(εi,k)δI,J+cov⁡(εi,k,εi,k+1)δI,J±1+cov⁡(εi,k,εi,k+2)δI,J±2,(31)R_{d_{I,J}}^{(i)}=\operatorname{cov}(\varepsilon_{i,k})\delta_{I,J}+\operatorname{cov}(\varepsilon_{i,k},\varepsilon_{i,k+1})\delta_{I,J\pm1} +\operatorname{cov}(\varepsilon_{i,k},\varepsilon_{i,k+2})\delta_{I,J\pm2}, \tag*{(31)}

where δi,j\delta_{i,j} is a Kronecker delta operator. Note that (27)–(29) can be realized by replacing the true noise parameters with their estimates. As a result, the drift estimates depend on θ^a\hat{\theta}_a. Finally, the HCOV method is summarized in Algorithm 1.

Algorithm 1 The estimation algorithm based on HCOV
Input: z1:N\boldsymbol{z}_{1:N}, τˉ\bar{\tau},
1: for i=1,…,nzi=1,\ldots,n_z and j=i,…,nzj=i,\ldots,n_z do
2: Estimate σ^i,j2(τˉ)\hat{\sigma}_{i,j}^2(\bar{\tau}) as in (14)
3: Compute var⁡(σ^i,i2(τˉ))\operatorname{var}(\hat{\sigma}_{i,i}^2(\bar{\tau})) and var⁡(σ^i,j2(τˉ))\operatorname{var}(\hat{\sigma}_{i,j}^2(\bar{\tau})) as in (22)
4: Store the results from Steps 2–3
5: end for
6: Construct za\boldsymbol{z}_a, RθaR_{\theta_a} and Φa\Phi_a as in (17)–(23).
7: Estimate q1(i)q_1^{(i)}, q2(i)q_2^{(i)}, RijR_{ij} as in (13), (24).
8: for i=1,…,nzi=1,\ldots,n_z do
9: Construct Δ2zk(i)\Delta^2\boldsymbol{z}_k^{(i)}, RdR_d as in (25), (27)–(29) and (31)
10: Estimate d(i+1)d^{(i+1)} using the procedure (30)
11: end for
Output: Estimated parameters θ^\hat{\theta} and their CMs.

Table 1.

Measurement Difference Method

The unique properties of MDM stem from the definition of the residue, which can be calculated from available measurements and shown to be a linear function of the immeasurable state and measurement noises [25].

  1. The Sampling Period and Resampled Model: Based on an initial analysis of the measurements and insights from the ACOV/HCOV techniques, it can be shown that the sampling period affects the extent to which individual parameters are reflected in the measurements and, consequently, the quality of the estimates of these parameters. This phenomenon is presented in Section VI-B10. Therefore, let’s define the resampled model of ensemble of nn clocks from Section IV as

xˉk+1=F⏟Fˉxk+[01×(n−1)11×(n−1)In−10n−1]⏟μˉ⊗[τm2/2τm]wˉk,(32)\bar{\boldsymbol{x}}_{k+1}=\underbrace{\boldsymbol{F}}_{\bar{\boldsymbol{F}}}\boldsymbol{x}_k+\underbrace{\left[\begin{array}{cc} \mathbf{0}_{1\times(n-1)} & \mathbf{1}_{1\times(n-1)} \\ \boldsymbol{I}_{n-1} & \mathbf{0}_{n-1} \end{array}\right]}_{\bar{\boldsymbol{\mu}}}\otimes\left[\begin{array}{c}\tau_m^2/2\\ \tau_m\end{array}\right]\boldsymbol{\bar{w}}_k, \tag*{(32)}
zˉk=Hxk+vˉk,(33)\bar{\boldsymbol{z}}_k=\boldsymbol{H}\boldsymbol{x}_k+\bar{\boldsymbol{v}}_k, \tag*{(33)}

for k=0,1,…,(Nˉ−1)k=0,1,\ldots,(\bar{N}-1), where Nˉ=([N/m]+1)\bar{N}=([N/m]+1) is a total number of downsampled measurements, τm=mTs∈R++\tau_m=mT_s\in\mathbb{R}^{+ +} is a resampling period² in seconds, m∈Nm\in\mathbb{N} determines the multiple of the original sampling period TsT_s, and the relations also hold:

zˉk=zmk,vˉk=vmk,cov⁡(vˉk)=R,(34)\bar{\boldsymbol{z}}_k=\boldsymbol{z}_{mk},\quad\bar{\boldsymbol{v}}_k=\boldsymbol{v}_{mk},\quad\operatorname{cov}(\bar{\boldsymbol{v}}_k)=\boldsymbol{R}, \tag*{(34)}
Qˉ=cov⁡(wˉk)=diag⁡(Qˉ(1),Qˉ(2),…,Qˉ(n)),(35)\bar{\boldsymbol{Q}}=\operatorname{cov}(\bar{\boldsymbol{w}}_k)=\operatorname{diag}\left(\bar{\boldsymbol{Q}}^{(1)},\bar{\boldsymbol{Q}}^{(2)},\ldots,\bar{\boldsymbol{Q}}^{(n)}\right), \tag*{(35)}
Qˉ(i)=[q1(i)τm+q2(i)τm3/3q2(i)τm2/2q2(i)τm2/2q2(i)τm].(36)\bar{\boldsymbol{Q}}^{(i)}= \left[\begin{array}{cc} q_1^{(i)}\tau_m+q_2^{(i)}\tau_m^3/3 & q_2^{(i)}\tau_m^2/2\\ q_2^{(i)}\tau_m^2/2 & q_2^{(i)}\tau_m \end{array}\right]. \tag*{(36)}
  1. Augmented Measurement Vector: Let’s define the augmented measurement vector as [25]

Zk=Oxk+ΓWk+Vk+ΓU(37)\boldsymbol{Z}_k=\boldsymbol{O}\boldsymbol{x}_k+\boldsymbol{\Gamma}\boldsymbol{W}_k+\boldsymbol{V}_k+\boldsymbol{\Gamma}\boldsymbol{U} \tag*{(37)}

for k=0,…,(Nˉ−L)k=0,\ldots,(\bar{N}-L), where L≥1L\ge1 is a user-defined parameter, Zk∈RLnz\boldsymbol{Z}_k\in\mathbb{R}^{Ln_z}, Wk∈R(L−1)nx\boldsymbol{W}_k\in\mathbb{R}^{(L-1)n_x}, Vk∈RLnz\boldsymbol{V}_k\in\mathbb{R}^{Ln_z} O∈RLnz×nx\mathcal{O} \in\mathbb{R}^{Ln_z \times n_x}, Γ∈RLnz×(L−1)nx\Gamma\in\mathbb{R}^{Ln_z \times(L-1)n_x}, U∈R(L−1)nx\mathbf{U} \in\mathbb{R}^{(L-1)n_x}, and Υd∈R(L−1)nx×(n−1)\Upsilon_{\mathrm{d}} \in\mathbb{R}^{(L-1)n_x \times(n-1)} are defined as

Zk≜[zˉkzˉk+1zˉk+2⋮zˉk+L−1],Wk≜[wˉkwˉk+1wˉk+2⋮wˉk+L−2],Vk≜[vˉkvˉk+1vˉk+2⋮vˉk+L−1].(38)\mathbf{Z}_k \triangleq\begin{bmatrix} \bar{\mathbf{z}}_k \\ \bar{\mathbf{z}}_{k+1} \\ \bar{\mathbf{z}}_{k+2} \\ \vdots\\ \bar{\mathbf{z}}_{k+L-1} \end{bmatrix}, \quad \mathbf{W}_k \triangleq\begin{bmatrix} \bar{\mathbf{w}}_k \\ \bar{\mathbf{w}}_{k+1} \\ \bar{\mathbf{w}}_{k+2} \\ \vdots\\ \bar{\mathbf{w}}_{k+L-2} \end{bmatrix}, \quad \mathbf{V}_k \triangleq\begin{bmatrix} \bar{\mathbf{v}}_k \\ \bar{\mathbf{v}}_{k+1} \\ \bar{\mathbf{v}}_{k+2} \\ \vdots\\ \bar{\mathbf{v}}_{k+L-1} \end{bmatrix}. \tag*{(38)}
O≜[HHFHF2⋮HFL−1],Γ≜[0nz×nx0nz×nx⋯0nz×nxH0nz×nx⋯0nz×nxHFH⋯0nz×nx⋮⋮⋱⋮HFL−2HFL−3⋯H].(39)\mathcal{O} \triangleq\begin{bmatrix} \mathbf{H} \\ \mathbf{H}\mathbf{F} \\ \mathbf{H}\mathbf{F}^{2} \\ \vdots\\ \mathbf{H}\mathbf{F}^{L-1} \end{bmatrix}, \quad \Gamma\triangleq\begin{bmatrix} \mathbf{0}_{n_z \times n_x} & \mathbf{0}_{n_z \times n_x} & \cdots& \mathbf{0}_{n_z \times n_x} \\ \mathbf{H} & \mathbf{0}_{n_z \times n_x} & \cdots& \mathbf{0}_{n_z \times n_x} \\ \mathbf{H}\mathbf{F} & \mathbf{H} & \cdots& \mathbf{0}_{n_z \times n_x} \\ \vdots& \vdots& \ddots& \vdots\\ \mathbf{H}\mathbf{F}^{L-2} & \mathbf{H}\mathbf{F}^{L-3} & \cdots& \mathbf{H} \end{bmatrix}. \tag*{(39)}
U≜[μˉμˉ⋮μˉ]=(1L−1⊗[01×(n−1)In−1]⊗[τm2/2τm])d.(40)\mathbf{U} \triangleq\begin{bmatrix} \bar{\boldsymbol{\mu}} \\ \bar{\boldsymbol{\mu}} \\ \vdots\\ \bar{\boldsymbol{\mu}} \end{bmatrix} = \left( \mathbf{1}_{L-1} \otimes \begin{bmatrix} \mathbf{0}_{1 \times(n-1)} \\ \mathbf{I}_{n-1} \end{bmatrix} \otimes \begin{bmatrix} \tau_m^2/2 \\ \tau_m \end{bmatrix} \right)\mathbf{d}. \tag*{(40)}

Residue Definition

The augmented measurement vector Zk\mathbf{Z}_k is known and depends on the unknown state and measurement noises whose mean values and covariance matrices (CMs) are sought. To eliminate the state xk\mathbf{x}_k, define a non-zero annihilation matrix am⁡(O)∈RnaO×Lnz\operatorname{am}(\mathcal{O}) \in\mathbb{R}^{n_{a\mathcal{O}} \times Ln_z} of the matrix O\mathcal{O} such that

am⁡(O)O=0naO×nx,(41)\operatorname{am}(\mathcal{O})\mathcal{O}=\mathbf{0}_{n_{a\mathcal{O}}\times n_x}, \tag*{(41)}

where naO=Lnz−rank⁡(O)n_{a\mathcal{O}}=Ln_z-\operatorname{rank}(\mathcal{O}) and rank⁡(O)\operatorname{rank}(\mathcal{O}) denotes a rank of the matrix O\mathcal{O}. Then, the residue Z~k∈RnaO\widetilde{\mathbf{Z}}_k \in\mathbb{R}^{n_{a\mathcal{O}}} is defined as

Z~k=am⁡(O)Zk=AEk+Bd,(42)\widetilde{\mathbf{Z}}_k=\operatorname{am}(\mathcal{O})\mathbf{Z}_k=\mathcal{A}\boldsymbol{\mathcal{E}}_k+\mathcal{B}\mathbf{d}, \tag*{(42)}

where A≜am⁡(O)[Γ,ILnz]∈RnaO×nE\mathcal{A}\triangleq\operatorname{am}(\mathcal{O})[\Gamma,\mathbf{I}_{Ln_z}] \in\mathbb{R}^{n_{a\mathcal{O}}\times n_{\mathcal{E}}}, B≜am⁡(O)ΓΥd∈RnaO×nz\mathcal{B}\triangleq\operatorname{am}(\mathcal{O})\Gamma\Upsilon_{\mathrm{d}} \in\mathbb{R}^{n_{a\mathcal{O}}\times n_z}, Ek≜[WkTVkT]T∈RnE\boldsymbol{\mathcal{E}}_k\triangleq\begin{bmatrix}\mathbf{W}_k^{\mathsf{T}}&\mathbf{V}_k^{\mathsf{T}}\end{bmatrix}^{\mathsf{T}}\in\mathbb{R}^{n_{\mathcal{E}}} with nE=(L−1)nw+Lnvn_{\mathcal{E}}=(L-1)n_w+Ln_v.

Frequency Drift Identification

Consequently, the mean of the residue Z~k\widetilde{\mathbf{Z}}_k is a linear function of the unknown frequency drift d\mathbf{d}, i.e.,

RZ~≜E[Z~k]=Bd.(43)\mathcal{R}_{\widetilde{\mathbf{Z}}}\triangleq\mathbb{E}\left[\widetilde{\mathbf{Z}}_k\right]=\mathcal{B}\mathbf{d}. \tag*{(43)}

Although the residue mean RZ~\mathcal{R}_{\widetilde{\mathbf{Z}}} is unknown, its sample-based estimate R^Z~=1N−L+1∑k=0N−LZ~k\widehat{\mathcal{R}}_{\widetilde{\mathbf{Z}}}=\frac{1}{N-L+1}\sum_{k=0}^{N-L}\widetilde{\mathbf{Z}}_k can be computed from measurements and (38) can be modified as

R^Z~⏟Known vector=B⏟Known matrixd+ζ⏟Unknown zero-mean vector.(44)\underbrace{\widehat{\mathcal{R}}_{\widetilde{\mathbf{Z}}}}_{\text{Known vector}} = \underbrace{\mathcal{B}}_{\text{Known matrix}}\mathbf{d} + \underbrace{\boldsymbol{\zeta}}_{\text{Unknown zero-mean vector}}. \tag*{(44)}

The drift estimates can be obtained, assuming full-rank matrix B\mathcal{B}, by the least squares (LS) method from (39) as follows

d^=B†R^Z~.(45)\widehat{\mathbf{d}}=\mathcal{B}^{\dagger}\widehat{\mathcal{R}}_{\widetilde{\mathbf{Z}}}. \tag*{(45)}

The CM of the estimate cov⁡(d^)\operatorname{cov}(\widehat{\mathbf{d}}) depends on the resampling period τm\tau_m; a discussion of this is later in § 4-B10. To obtain the resampling period that leads to minimum CM of the estimate, the estimate of the residue R^Z~\widehat{\mathcal{R}}_{\widetilde{\mathbf{Z}}} and, consequently, the drift d^\widehat{\mathbf{d}} is split into S>1S>1 mutually-uncorrelated4 sub-estimates as

d^p=B†1M−L+1∑k=0M−LZ~k+(p−1)M⏟R^Z~p,(46)\widehat{\mathbf{d}}^{p}=\mathcal{B}^{\dagger}\underbrace{\frac{1}{M-L+1}\sum_{k=0}^{M-L}\widetilde{\mathbf{Z}}_{k+(p-1)M}}_{\widehat{\mathcal{R}}_{\widetilde{\mathbf{Z}}}^{p}}, \tag*{(46)}

for p=1,2,…,Sp=1,2,\ldots,S where M=⌊N−L+1S⌋M=\left\lfloor\frac{N-L+1}{S}\right\rfloor. The sample-based estimate of the covariance of the drift estimate is computed as

cov⁡(d^p)=1S−1∑p=1S(d^p−(1S∑p=1Sd^p))(d^p−(1S∑p=1Sd^p))T.(47)\operatorname{cov}\left(\widehat{\mathbf{d}}^{p}\right)=\frac{1}{S-1}\sum_{p=1}^{S}\left(\widehat{\mathbf{d}}^{p}-\left(\frac{1}{S}\sum_{p=1}^{S}\widehat{\mathbf{d}}^{p}\right)\right)\left(\widehat{\mathbf{d}}^{p}-\left(\frac{1}{S}\sum_{p=1}^{S}\widehat{\mathbf{d}}^{p}\right)\right)^{\mathsf{T}}. \tag*{(47)}

The estimate of the covariance (42) can be computed for tt different resampling period τˉ=[τˉ1,τˉ2,…,τˉt]∈Rt\bar{\tau}=[\bar{\tau}_1,\bar{\tau}_2,\ldots,\bar{\tau}_t]\in\mathbb{R}^{t}, where τˉp=mpTs\bar{\tau}_p=m_pT_s with mp∈{1,2,…,⌊NL(S+1)−2⌋}m_p\in\left\{1,2,\ldots,\left\lfloor\frac{N}{L(S+1)-2}\right\rfloor\right\}, and the one for which the covariance is minimal, in a certain sense, can be used to estimate the drift d^\widehat{\mathbf{d}} (40). Furthermore, the CM of the estimated drift can be estimated from (42) using the relation

cov⁡(d^)=C(Nˉ−L+1,L)C(M−L+1,L)cov⁡(d^p),(48)\operatorname{cov}(\widehat{\mathbf{d}})=\frac{C(\bar{N}-L+1,L)}{C(M-L+1,L)}\operatorname{cov}\left(\widehat{\mathbf{d}}^{p}\right), \tag*{(48)}

where C(Nˉ,L)=1Nˉ+∑i=1min⁡(Nˉ−1,L−1)2(Nˉ−i)Nˉ2L−iLC(\bar{N},L)=\frac{1}{\bar{N}}+\sum_{i=1}^{\min(\bar{N}-1,L-1)}\frac{2(\bar{N}-i)}{\bar{N}^{2}}\frac{L-i}{L} is described in the Appendix B.

Relation of Residue and Noises Covariances

The residue definition (37) leads to the following key properties: i) Z~k\widetilde{\mathbf{Z}}_k is a linear function of the unavailable state and measurement noises (and drift), and ii) it can be computed from the measurements.

Consequently, the residue correlation is a linear function of the CMs of the state and measurement noises, i.e.,

RZ~2≜E(Z~k⊗2)=A⊗2RE2+(Bd)⊗2,(49)\mathcal{R}_{\widetilde{\mathbf{Z}}^{2}}\triangleq\mathbb{E}\left(\widetilde{\mathbf{Z}}_k^{\otimes2}\right)=\mathcal{A}^{\otimes2}\mathcal{R}_{\mathcal{E}_2}+(\mathcal{B}\mathbf{d})^{\otimes2}, \tag*{(49)}

where A⊗2≜A⊗A\mathcal{A}^{\otimes2}\triangleq\mathcal{A}\otimes\mathcal{A} denotes the Kronecker power, RZ~2∈RnaO2\mathcal{R}_{\widetilde{\mathbf{Z}}^{2}}\in\mathbb{R}^{n_{a\mathcal{O}}^{2}} is the vectorised residual correlation containing the CM elements of the residue Z~k\widetilde{\mathbf{Z}}_k, RE2∈RnE2\mathcal{R}_{\mathcal{E}_2}\in\mathbb{R}^{n_{\mathcal{E}}^{2}} contains elements of the CM of the augmented state and measurement noise vector Ek\boldsymbol{\mathcal{E}}_k and will be specified below.

Noise CM Parametrisation via Structure-Defining Matrices

The noise covariance RE2\mathcal{R}_{\mathcal{E}_2} contains multiple copies of unique elements of the noise CMs Qˉ\bar{\mathbf{Q}} and R\mathbf{R}, due to either the construction of the residue, application of the Kronecker algebra, or the CM symmetry. For efficient estimation of the noise CMs, it is necessary to express the unique elements of the noise CMs Qˉ,R\bar{\mathbf{Q}},\mathbf{R} from the vector RE2\mathcal{R}_{\mathcal{E}_2} in (44). An appealing parametrisation, introduced in [26], defines Qˉ,R\bar{\mathbf{Q}},\mathbf{R} using a set of known (or user-defined) structure-defining matrices Bq1(i)∈R2n×2n\mathbf{B}_{q_1}^{(i)}\in\mathbb{R}^{2n\times2n}, Bq2(i)∈R2n×2n\mathbf{B}_{q_2}^{(i)}\in\mathbb{R}^{2n\times2n} and Br(i)∈Rnz×nz\mathbf{B}_{r}^{(i)}\in\mathbb{R}^{n_z\times n_z} and unknown (and sought) parameters q1,q2,r\mathbf{q}_1,\mathbf{q}_2,\mathbf{r} as

Qˉ=∑i=1nq1q1(i)Bq1(i)+∑i=1nq2q2(i)Bq2(i),R=∑i=1nrriBr(i).(50)\bar{\mathbf{Q}}=\sum_{i=1}^{n_{q_1}}q_1^{(i)}\mathbf{B}_{q_1}^{(i)}+\sum_{i=1}^{n_{q_2}}q_2^{(i)}\mathbf{B}_{q_2}^{(i)}, \qquad \mathbf{R}=\sum_{i=1}^{n_r}r_i\mathbf{B}_{r}^{(i)}. \tag*{(50)}

where Bq1(i)\mathbf{B}_{q_1}^{(i)}, Bq2(i)\mathbf{B}_{q_2}^{(i)} and Br(i)\mathbf{B}_{r}^{(i)} are defined as

Bq1(i)=diag⁡([0(i−1)×10(n−i−1)×1][τm000]),i=1,2,…,n.(51)\mathbf{B}_{q_1}^{(i)}=\operatorname{diag}\left(\begin{bmatrix}\mathbf{0}_{(i-1)\times1}\\ \mathbf{0}_{(n-i-1)\times1}\end{bmatrix}\begin{bmatrix}\tau_m&0\\0&0\end{bmatrix}\right),\qquad i=1,2,\ldots,n. \tag*{(51)}
Bq2(i)=diag⁡([0(i−1)×10(n−i)×1][τm3/3τm2/2τm2/2τm]),i=1,2,…,n(52)\mathbf{B}_{q_2}^{(i)}=\operatorname{diag}\left(\left[\begin{array}{c}\mathbf{0}_{(i-1)\times1}\\ \mathbf{0}_{(n-i)\times1}\end{array}\right]\left[\begin{array}{cc}\tau_m^3/3 & \tau_m^2/2\\ \tau_m^2/2 & \tau_m\end{array}\right]\right),\quad i=1,2,\ldots,n \tag*{(52)}
Br(i)=I(i),i=1,2,…,nr,(53)\mathbf{B}_{r}^{(i)}=\mathcal{I}(i),\quad i=1,2,\ldots,n_r, \tag*{(53)}

where I(j)\mathcal{I}(j) is a function that returns a zero matrix of dimension nz×nzn_z\times n_z containing ones only at the positions where the ii-th unique element rir_i of the matrix R\mathbf{R} is located. For example, for the first unique element r1=R11r_1=R_{11}, the matrix is I(1)=diag⁡([1 01×(nz−1)])\mathcal{I}(1)=\operatorname{diag}([1\ \mathbf{0}_{1\times(n_z-1)}]), and the element rnz+2=R13=R31r_{n_z+2}=R_{13}=R_{31}, the matrix is I(nz+1)=diag⁡([001000100],0nz−3×nz−3)\mathcal{I}(n_z+1)=\operatorname{diag}\left(\left[\begin{array}{ccc}0&0&1\\0&0&0\\1&0&0\end{array}\right],\mathbf{0}_{n_z-3\times n_z-3}\right).

Residue Correlation

Then, the noise CMs parametrisation (46) allows to incorporate a priori knowledge of the noise structure using the minimum number of noise CM parameters gathered in the vector θa\boldsymbol{\theta}_a. The vectors RE2\mathcal{R}_{\mathcal{E}_2} and θa\boldsymbol{\theta}_a are related as follows

RE2≜E(Ek⊗2)=(diag⁡(IL−1⊗Q‾,IL⊗R))V(54)\mathcal{R}_{\mathcal{E}_2}\triangleq\mathbb{E}\left(\mathcal{E}_k^{\otimes2}\right)=\left(\operatorname{diag}\left(\mathbf{I}_{L-1}\otimes\overline{\mathbf{Q}},\mathbf{I}_L\otimes\mathbf{R}\right)\right)_{\mathrm{V}} \tag*{(54)}
=Υq1q1+Υq2q2+Υrr,(55)=\mathbf{\Upsilon}_{q_1}\mathbf{q}_1+\mathbf{\Upsilon}_{q_2}\mathbf{q}_2+\mathbf{\Upsilon}_{r}\mathbf{r}, \tag*{(55)}

where the notation (⋅)V(\cdot)_{\mathrm{V}} stands for vectorisation of the matrix and the replication matrices Υq1∈Rna2×n\mathbf{\Upsilon}_{q_1}\in\mathbb{R}^{n_a^2\mathbin{\times}n}, Υq2∈Rna2×n\mathbf{\Upsilon}_{q_2}\in\mathbb{R}^{n_a^2\mathbin{\times}n}, and Υr∈Rna2×nr\mathbf{\Upsilon}_{r}\in\mathbb{R}^{n_a^2\mathbin{\times}n_r} are defined as

Υq1≜[I(L−1)⊗Bq1(1)000]V,…,[I(L−1)⊗Bq1(n)000]V,(56)\mathbf{\Upsilon}_{q_1}\triangleq\left[\begin{array}{cc}\mathbf{I}_{(L-1)}\otimes\mathbf{B}_{q_1}^{(1)}&\mathbf{0}\\\mathbf{0}&\mathbf{0}\end{array}\right]_{\mathrm{V}},\ldots,\left[\begin{array}{cc}\mathbf{I}_{(L-1)}\otimes\mathbf{B}_{q_1}^{(n)}&\mathbf{0}\\\mathbf{0}&\mathbf{0}\end{array}\right]_{\mathrm{V}}, \tag*{(56)}
Υq2≜[I(L−1)⊗Bq2(1)000]V,…,[I(L−1)⊗Bq2(n)000]V,(57)\mathbf{\Upsilon}_{q_2}\triangleq\left[\begin{array}{cc}\mathbf{I}_{(L-1)}\otimes\mathbf{B}_{q_2}^{(1)}&\mathbf{0}\\\mathbf{0}&\mathbf{0}\end{array}\right]_{\mathrm{V}},\ldots,\left[\begin{array}{cc}\mathbf{I}_{(L-1)}\otimes\mathbf{B}_{q_2}^{(n)}&\mathbf{0}\\\mathbf{0}&\mathbf{0}\end{array}\right]_{\mathrm{V}}, \tag*{(57)}
Υr≜[000IL⊗Br(1)]V,…,[000IL⊗Br(nr)]V.(58)\mathbf{\Upsilon}_{r}\triangleq\left[\begin{array}{cc}\mathbf{0}&\mathbf{0}\\\mathbf{0}&\mathbf{I}_L\otimes\mathbf{B}_{r}^{(1)}\end{array}\right]_{\mathrm{V}},\ldots,\left[\begin{array}{cc}\mathbf{0}&\mathbf{0}\\\mathbf{0}&\mathbf{I}_L\otimes\mathbf{B}_{r}^{(n_r)}\end{array}\right]_{\mathrm{V}}. \tag*{(58)}

Residue Correlation Unification

Similarly to the noise covariance RE2\mathcal{R}_{\mathcal{E}_2} in (49), the residue correlation RZ~2\mathcal{R}_{\widetilde{\mathbf{Z}}_2} also contains redundant copies of the same elements. Therefore, unique elements of the vector RZ~2\mathcal{R}_{\widetilde{\mathbf{Z}}_2} gathered in the vector denoted as RZ~2U∈RnaO(naO+1)/2\mathcal{R}_{\widetilde{\mathbf{Z}}_2}^{\mathrm{U}}\in\mathbb{R}^{n_{a_O}(n_{a_O}+1)/2} are selected using a unification matrix denoted as Ξ~Z~2∈R(naO(naO+1)/2)×naO2\widetilde{\mathbf{\Xi}}_{\widetilde{\mathbf{Z}}_2}\in\mathbb{R}^{(n_{a_O}(n_{a_O}+1)/2)\times n_{a_O}^2}. Therefore, the following relationship holds

RZ~2U=Ξ~Z~2RZ~2.(59)\mathcal{R}_{\widetilde{\mathbf{Z}}_2}^{\mathrm{U}}=\widetilde{\mathbf{\Xi}}_{\widetilde{\mathbf{Z}}_2}\mathcal{R}_{\widetilde{\mathbf{Z}}_2}. \tag*{(59)}

Noise Parameter Estimation

Consequently, the correlation of the residue is a linear function of the noise parameters and equations (47) and the kron-square of the state noise mean vector (drift) (49), i.e.,

RZ~2=Ξ~Z~2[A⊗2[Υq1,Υq2,Υr],B⊗2][q1q2rd⊗2].(60)\mathcal{R}_{\widetilde{\mathbf{Z}}_2}=\widetilde{\mathbf{\Xi}}_{\widetilde{\mathbf{Z}}_2}\left[\mathcal{A}^{\otimes2}\left[\mathbf{\Upsilon}_{q_1},\mathbf{\Upsilon}_{q_2},\mathbf{\Upsilon}_{r}\right],\mathcal{B}^{\otimes2}\right]\left[\begin{array}{c}\mathbf{q}_1\\\mathbf{q}_2\\\mathbf{r}\\\mathbf{d}^{\otimes2}\end{array}\right]. \tag*{(60)}

The residue correlation RZ~2\mathcal{R}_{\widetilde{\mathbf{Z}}_2} (59) is unknown. However, its sample-based estimate R^Z~2U=Ξ~Z~2R^Z~2=Ξ~Z~2N‾−L+1∑k=0N‾−LZ~k⊗2\widehat{\mathcal{R}}_{\widetilde{\mathbf{Z}}_2}^{\mathrm{U}}=\widetilde{\mathbf{\Xi}}_{\widetilde{\mathbf{Z}}_2}\widehat{\mathcal{R}}_{\widetilde{\mathbf{Z}}_2}=\frac{\widetilde{\mathbf{\Xi}}_{\widetilde{\mathbf{Z}}_2}}{\overline{N}-L+1}\sum_{k=0}^{\overline{N}-L}\widetilde{\mathbf{Z}}_k^{\otimes2} can be computed and (50) can be modified as

R^Z~2U⏟Known vector=Ξ~Z~2[A⊗2[Υq1,Υq2,Υr],B⊗2]⏟Known matrix[q1q2rd⊗2]⏟Sought noise parameters+ν⏟Unknown zero-mean vector.(61)\underbrace{\widehat{\mathcal{R}}_{\widetilde{\mathbf{Z}}_2}^{\mathrm{U}}}_{\text{Known vector}}= \underbrace{\widetilde{\mathbf{\Xi}}_{\widetilde{\mathbf{Z}}_2}\left[\mathcal{A}^{\otimes2}\left[\mathbf{\Upsilon}_{q_1},\mathbf{\Upsilon}_{q_2},\mathbf{\Upsilon}_{r}\right],\mathcal{B}^{\otimes2}\right]}_{\text{Known matrix}} \underbrace{\left[\begin{array}{c}\mathbf{q}_1\\\mathbf{q}_2\\\mathbf{r}\\\mathbf{d}^{\otimes2}\end{array}\right]}_{\text{Sought noise parameters}}+ \underbrace{\boldsymbol{\nu}}_{\text{Unknown zero-mean vector}}. \tag*{(61)}

Analogously to the drift d\mathbf{d} and its estimate (45), the noise parameters and squared drift can directly be estimated by the LS method from (51). However, in this straightforward solution the MSE of a subset of estimated parameter will be significantly higher than the MSE of the remaining parameters due to the “uneven” influence of the sampling period, that is analyzed Section VI-B10. To equalize the MSE for all estimated parameters, we, therefore, propose a two-step procedure for sequential noise parameters estimation based on two purposely selected (down)-sampled periods.

The first step, it can be shown that for a small resampling period, e.g., τm≤100s\tau_m\leq100\mathrm{s}, the influence of the noise parameters q2\mathbf{q}_2 and d\mathbf{d} is negligible, and the equation (61) can be considered in the following form

R^Z~2U≈Ξ~Z~2A⊗2[Υq1,Υr][q1r]+ν.(62)\widehat{\mathcal{R}}_{\widetilde{\mathbf{Z}}_2}^{\mathrm{U}}\approx\widetilde{\mathbf{\Xi}}_{\widetilde{\mathbf{Z}}_2}\mathcal{A}^{\otimes2}\left[\mathbf{\Upsilon}_{q_1},\mathbf{\Upsilon}_{r}\right]\left[\begin{array}{c}\mathbf{q}_1\\\mathbf{r}\end{array}\right]+\boldsymbol{\nu}. \tag*{(62)}

The noise parameters q1\mathbf{q}_1 and r\mathbf{r} estimates can be obtained by LS from (52) as follows

[q^1r^]=(Ξ~Z~2A⊗2[Υq1,Υr])†R^Z~2U.(63)\left[\begin{array}{c}\widehat{\mathbf{q}}_1\\\widehat{\mathbf{r}}\end{array}\right]=\left(\widetilde{\mathbf{\Xi}}_{\widetilde{\mathbf{Z}}_2}\mathcal{A}^{\otimes2}\left[\mathbf{\Upsilon}_{q_1},\mathbf{\Upsilon}_{r}\right]\right)^\dagger\widehat{\mathcal{R}}_{\widetilde{\mathbf{Z}}_2}^{\mathrm{U}}. \tag*{(63)}

The second step, the influence of the noise parameters q1\mathbf{q}_1, r\mathbf{r}, and d\mathbf{d} can be eliminated from equation (51) by using the available estimates q^1\widehat{\mathbf{q}}_1, r^\widehat{\mathbf{r}} (63) and d^\widehat{\mathbf{d}} (45), and subsequently estimate the last remaining parameter q2\mathbf{q}_2 as follows

q^2=(Ξ~Z~2A⊗2Υq2)†(R^Z~2U−Ξ~Z~2[A⊗2[Υq1,Υr],B⊗2][q^1r^d^⊗2]).(64)\widehat{\mathbf{q}}_2=\left(\widetilde{\mathbf{\Xi}}_{\widetilde{\mathbf{Z}}_2}\mathcal{A}^{\otimes2}\mathbf{\Upsilon}_{q_2}\right)^\dagger\left(\widehat{\mathcal{R}}_{\widetilde{\mathbf{Z}}_2}^{\mathrm{U}}-\widetilde{\mathbf{\Xi}}_{\widetilde{\mathbf{Z}}_2}\left[\mathcal{A}^{\otimes2}\left[\mathbf{\Upsilon}_{q_1},\mathbf{\Upsilon}_{r}\right],\mathcal{B}^{\otimes2}\right]\left[\begin{array}{c}\widehat{\mathbf{q}}_1\\\widehat{\mathbf{r}}\\\widehat{\mathbf{d}}^{\otimes2}\end{array}\right]\right). \tag*{(64)}

The CM of the estimates q^1\widehat{\mathbf{q}}_1, r^\widehat{\mathbf{r}}, and q^2\widehat{\mathbf{q}}_2 depends on the resampling period τm\tau_m. The technique for obtaining the resampling period τm\tau_m that minimizes the CM of the estimates (similar to the estimation of the drift (40)) is to use SS mutually uncorrelated sub-estimates as

[q^1pr^p]=(Ξ~Z~2A⊗2[Υq1,Υr])†R^Z~2p,U,(65)\left[\begin{array}{c}\widehat{\mathbf{q}}_1^p\\\widehat{\mathbf{r}}^p\end{array}\right]=\left(\widetilde{\mathbf{\Xi}}_{\widetilde{\mathbf{Z}}_2}\mathcal{A}^{\otimes2}\left[\mathbf{\Upsilon}_{q_1},\mathbf{\Upsilon}_{r}\right]\right)^\dagger\widehat{\mathcal{R}}_{\widetilde{\mathbf{Z}}_2}^{p,\mathrm{U}}, \tag*{(65)}
q^2p=(Ξ~Z~2A⊗2Υq2)†(R^Z~2p,U−Ξ~Z~2[A⊗2[Υq1,Υr],B⊗2][q^1pr^pd^⊗2])(66)\widehat{\mathbf{q}}_2^p=\left(\widetilde{\mathbf{\Xi}}_{\widetilde{\mathbf{Z}}_2}\mathcal{A}^{\otimes2}\mathbf{\Upsilon}_{q_2}\right)^\dagger\left(\widehat{\mathcal{R}}_{\widetilde{\mathbf{Z}}_2}^{p,\mathrm{U}}-\widetilde{\mathbf{\Xi}}_{\widetilde{\mathbf{Z}}_2}\left[\mathcal{A}^{\otimes2}\left[\mathbf{\Upsilon}_{q_1},\mathbf{\Upsilon}_{r}\right],\mathcal{B}^{\otimes2}\right]\left[\begin{array}{c}\widehat{\mathbf{q}}_1^p\\\widehat{\mathbf{r}}^p\\\widehat{\mathbf{d}}^{\otimes2}\end{array}\right]\right) \tag*{(66)}

for p=1,2,…,Sp=1,2,\ldots,S, where R^Z~2p,U=Ξ~Z~2R^Z~2p\widehat{\mathcal{R}}_{\widetilde{\mathbf{Z}}_2}^{p,\mathrm{U}}=\widetilde{\mathbf{\Xi}}_{\widetilde{\mathbf{Z}}_2}\widehat{\mathcal{R}}_{\widetilde{\mathbf{Z}}_2}^{p}, R^Z~2p=1M‾−L+1∑k=0M‾−LZ~k+(p−1)M‾⊗2\widehat{\mathcal{R}}_{\widetilde{\mathbf{Z}}_2}^{p}=\frac{1}{\overline{M}-L+1}\sum_{k=0}^{\overline{M}-L}\widetilde{\mathbf{Z}}_{k+(p-1)\overline{M}}^{\otimes2} and M‾=⌊N‾−L+1S⌋\overline{M}=\left\lfloor\frac{\overline{N}-L+1}{S}\right\rfloor.

Using the sub-estimates (55), the appropriate resampling period can be found for the estimate of the pair [q^1 r^]\left[\widehat{\mathbf{q}}_1\ \widehat{\mathbf{r}}\right] (53) as well as for the estimate of q^2\widehat{\mathbf{q}}_2 (54). As a consequence, each of the chosen resampling period minimizes the CM of the respective estimate error, which can be calculated as

cov⁡([q^1r^])=c(N‾−L+1,L)c(M‾−L+1,L)cov⁡([q^1pr^p]),(67)\operatorname{cov}\left(\left[\begin{array}{c}\widehat{\mathbf{q}}_1\\\widehat{\mathbf{r}}\end{array}\right]\right)=\frac{c(\overline{N}-L+1,L)}{c(\overline{M}-L+1,L)}\operatorname{cov}\left(\left[\begin{array}{c}\widehat{\mathbf{q}}_1^p\\\widehat{\mathbf{r}}^p\end{array}\right]\right), \tag*{(67)}
cov⁡(q^2)=c(N‾−L+1,L)c(M‾−L+1,L)cov⁡(q^2p),(68)\operatorname{cov}\left(\widehat{\mathbf{q}}_2\right)=\frac{c(\overline{N}-L+1,L)}{c(\overline{M}-L+1,L)}\operatorname{cov}\left(\widehat{\mathbf{q}}_2^p\right), \tag*{(68)}

where

cov⁡([q^1pr^p])=1S−1∑p=1S([q^1pr^p]−(1S∑p=1S[q^1pr^p]))(⋅)T,(69)\operatorname{cov}\left(\left[\begin{array}{c}\widehat{\mathbf{q}}_1^p\\\widehat{\mathbf{r}}^p\end{array}\right]\right)=\frac{1}{S-1}\sum_{p=1}^{S}\left(\left[\begin{array}{c}\widehat{\mathbf{q}}_1^p\\\widehat{\mathbf{r}}^p\end{array}\right]-\left(\frac{1}{S}\sum_{p=1}^{S}\left[\begin{array}{c}\widehat{\mathbf{q}}_1^p\\\widehat{\mathbf{r}}^p\end{array}\right]\right)\right)\left(\cdot\right)^{\mathsf{T}}, \tag*{(69)}
cov⁡(q^2p)=1S−1∑p=1S(q^2p−(1S∑p=1Sq^2p))(⋅)T.(70)\operatorname{cov}\left(\widehat{\mathbf{q}}_2^p\right)=\frac{1}{S-1}\sum_{p=1}^{S}\left(\widehat{\mathbf{q}}_2^p-\left(\frac{1}{S}\sum_{p=1}^{S}\widehat{\mathbf{q}}_2^p\right)\right)\left(\cdot\right)^{\mathsf{T}}. \tag*{(70)}

Influence of Resampling Period on Noise Parameter Estimation

Notes, and Algorithm: Let’s focus on observations that determined why individual estimates are calculated in these particular ways. In this section consider a set of AHM clocks as described in § 6-A. The observations presented below are illustrative; however, they have been valid for various model parameters as well.

Observation I: To estimate d\mathrm{d} (45), the choice of the resampling period τm\tau_m is crucial, as it can significantly affect the variance of the estimate, as shown in Figure 1. However, it can be seen the wide range between τm=60 s\tau_m=60\,\mathrm{s} and τm=41000 s\tau_m=41000\,\mathrm{s} where the STD of the estimate differs from the minimum by 1%.

The influence of the resampling period on the standard deviation of the mean estimate

Figure 1. The influence of τm\tau_m on the STD of the mean estimate d^\hat{\mathrm{d}}.

Observation II: The appropriate resampling periods τm\tau_m determined based on sub-estimates by (47) and (57) are very close to the resampling periods that lead to the minimum variance of the estimate calculated both theoretically and using Monte Carlo (MC) simulations i.e., τm=4800 s\tau_m=4800\,\mathrm{s}. This can be seen in Figure 1 for the frequency drift identification.

Observation III: The error of the estimated CM of the estimate based on (48) and (56) (compared to the CM estimated based on MC simulations) for different value of measurements NN (with Ts=5 sT_s=5\,\mathrm{s}) is shown in Figure 2. The average error of CMs for q^1\hat{q}_1 and r^\hat{r} is 6%, independently of the total number of measurements NN with Ts=5 sT_s=5\,\mathrm{s}. In contrast, the error of CMs for q^2\hat{q}_2 and d^\hat{\mathrm{d}} decreases as the value of NN increases.

The estimation error of the covariance matrix of the noise parameter estimate

Figure 2. The estimation error of the CM of the noise parameter estimate.

Observation IV: The resampling time τm\tau_m determines the ratio of the contributions of the unknown parameters q1q_1, q2q_2, rr, and d\mathrm{d} (60) to the correlation value R~Z~2\widetilde{R}_{\widetilde{Z}_2}, as shown in Figure 3.

The influence of the parameters on the correlation value

Figure 3. The influence of q1q_1, q2q_2, rr, and d\mathrm{d} to the correlation value R~Z~2\widetilde{R}_{\widetilde{Z}_2}.

Therefore, for a small resampling period τm\tau_m (Area 1), the correlation R~Z~2\widetilde{R}_{\widetilde{Z}_2} is formed exclusively by the parameters q1q_1 and rr. As a result, the parameters q1q_1 and rr can be estimated by (63) individually, without knowledge of the remaining parameters q2q_2 and d\mathrm{d}. For longer resampling period τm\tau_m (Area 2), the correlation R~Z~2\widetilde{R}_{\widetilde{Z}_2} is composed of all parameters. However, since the estimates d\mathrm{d} (45) and q1q_1, rr (63) are already available, their effects can be removed from the equation, and the remaining parameter q2q_2 can be estimated by (64).

Observation V: The appropriate resampling period for both q1q_1, rr parameters and q2q_2 parameter yields the minimum variance of these estimates (see Observation II), corresponds to the resampling period at which the parameters have a significant contributions (see Observation IV) i.e., τm=8 s\tau_m=8\,\mathrm{s} for q1q_1, rr and τm=36000 s\tau_m=36000\,\mathrm{s} for q2q_2.

Note I: The noise can be arbitrarily distributed, and the assumption of Gaussian distributed noises are not necessary.

Note II: The technique for finding the appropriate resampling period from set τˉ\bar{\tau} can also be applied to ℓ\ell different values of LL i.e., Lˉ=[Lˉ1,Lˉ2,…,Lˉℓ]∈Rℓ\bar{L}=[\bar{L}_1,\bar{L}_2,\ldots,\bar{L}_{\ell}]\in\mathbb{R}^{\ell}, where Lˉp∈N\bar{L}_p\in\mathbb{N}, to find the appropriate one for which the noise parameters (as a whole) have minimum variance. The appropriate value is L=8L=8 as is shown in Figure 4.

The value of the estimated covariance matrix of the noise parameter estimate

Figure 4. The value of the estimated CM of the noise parameter estimate.

Algorithm 2 The MDM estimation algorithm

Input: z1:Nz_{1:N}, τˉ\bar{\tau}, Lˉ\bar{L}, SS

  1. for L∈LˉL\in\bar{L} do

  2. for τm∈τˉ\tau_m\in\bar{\tau} do

  3. Compute residue Z~k\widetilde{Z}_k (42).

  4. Estimate d^p\hat{\mathbf{d}}^p as in (46) and [q^1pr^p]\begin{bmatrix}\hat{q}_1^p\\\hat{r}^p\end{bmatrix} (65).

  5. Estimate cov⁡(d^)\operatorname{cov}(\hat{\mathrm{d}}) as in (48) and cov⁡([q^1r^])\operatorname{cov}\left(\begin{bmatrix}\hat{q}_1\\\hat{r}\end{bmatrix}\right) (67).

  6. end for

  7. Estimate d^\hat{\mathrm{d}} (45) for such a τm\tau_m that cov⁡(d^)\operatorname{cov}(\hat{\mathrm{d}}) is minimal.

  8. Estimate [q^1r^]\begin{bmatrix}\hat{q}_1\\\hat{r}\end{bmatrix} (63) for such a τm\tau_m that cov⁡([q^1r^])\operatorname{cov}\left(\begin{bmatrix}\hat{q}_1\\\hat{r}\end{bmatrix}\right) is minimal.

  9. for τm∈τˉ\tau_m\in\bar{\tau} do

  10. Estimate q^2\hat{q}_2 (66) with q^1\hat{q}_1, r^\hat{r}, and d^\hat{\mathrm{d}} from steps 7–8.

  11. Estimate cov⁡(q^2)\operatorname{cov}(\hat{q}_2) (68).

  12. end for

  13. Estimate q^2\hat{q}_2 (64) for such a τm\tau_m that cov⁡(q^2)\operatorname{cov}(\hat{q}_2) is minimal.

  14. end for

  15. Through all LL, pick estimates [q^1r^]\begin{bmatrix}\hat{q}_1\\\hat{r}\end{bmatrix}, d^\hat{\mathrm{d}}, and q^2\hat{q}_2 from steps 7, 8, and 13, for which their CMs are minimal.

Output: Estimated parameters θ^\hat{\boldsymbol{\theta}} and their CMs.

Results

This section presents illustration and comparison of both identification methods for simulated and real data.

Simulated data

The ensemble consists of four active hydrogen maser (AHM) clocks with true parameters listed in tbl:I and tbl:II. Other parameters considered are: Ts=5 sT_s=5\,\mathrm{s}, N=N= 6.312E66.312\mathrm{E}6 (i.e., this corresponds to a one-year data period). The parameter for HCOV is t=20t=20, where averaging times τˉp\bar{\tau}_p are evenly spaced in a log-space ranging 5 s to 3.15E73.15\mathrm{E}7 s and the parameters for MDM are S=100S=100, t=400t=400, where resampling period τˉp\bar{\tau}_p are evenly spaced in a log-space ranging from 5 s to 5⋅6 312 000101⋅Lˉ−25\cdot\frac{6\,312\,000}{101\cdot\bar{L}^{-2}} s, and Lˉ=[4,5,6,7,8,9,10,11]\bar{L}=[4,5,6,7,8,9,10,11] i.e., ℓ=8\ell=8.

The resulting average and standard deviations of the estimates for both methods (HCOV and MDM) based on 100 Monte Carlo simulations are summarized in Table I (PDF p. 9) and Table II. Both methods seems to provide noise parameter estimates of almost identical quality. A more significant difference can be observed in the uncertainty estimation for parameter q2q_2, where the HCOV method provides optimistic CM, whereas MDM provided CM corresponding to those based on MC simulations. The graphical representation of the results is provided in Figure 5 and Figure 6. The figures present the Allan variance (AVAR) of the individual clocks computed analytically using the true parameters (blue line) and using the average values of the estimated parameters from MC simulations (dashed red line). The confidence intervals (CIs) of the AVAR are shown as shaded areas. The AVARs computed using MC average of parameter estimates are close to the AVARs computed using true parameters. In both cases, a wide confidence interval is obtained for the pivot clock for averaging times greater then 1E41\mathrm{E}4 s. This behavior can be attributed to (i) the assumption of zero drift for the pivot clock, (ii) the low value of the parameter q2q_2 for the pivot clock, and (iii) the limited length of the measurement record. Although the width of a confidence intervals could be further decreased by increasing the duration of measurement, a substantial reduction

Clocks AVAR for true and estimated parameters

Figure 5. Clocks AVAR for true and estimated parameters (HCOV method - simulation).

Clocks AVAR for true and estimated parameters

Figure 6. Clocks AVAR for true and estimated parameters (MDM - simulation).

q1(i)q_1^{(i)} (×1E−27\times1\mathrm{E}{-27})q2(i)q_2^{(i)} (×1E−35\times1\mathrm{E}{-35})d(i)d^{(i)} (×1E−21\times1\mathrm{E}{-21})
ii12341234234
true11.5570.121.52.587.53
HCOVMC-Based E(θ^)\mathbb{E}(\hat{\theta})11.55.00170.1331.8691.3282.1977.9827.4143.051
MC-Based std⁡(θ^)\operatorname{std}(\hat{\theta})0.0030.0040.0060.0080.0480.2510.2060.4480.7610.8100.916
Method provided std⁡(θ^)\operatorname{std}(\hat{\theta})0.0020.0040.0070.0090.0430.0930.0920.1310.8150.6960.876
MDMMC-Based E(θ^)\mathbb{E}(\hat{\theta})11.54.99970.0892.0121.4952.4888.1377.4313.187
MC-Based std⁡(θ^)\operatorname{std}(\hat{\theta})0.0040.0040.0080.0110.0700.1150.1260.1990.9020.6880.991
Method provided std⁡(θ^)\operatorname{std}(\hat{\theta})0.0040.0040.0080.0110.0770.1530.1510.1990.8420.7550.944

Table I (PDF p. 9). Specification of ensemble clocks parameters and an overview of their estimates.

(×1E−27)(\times1\mathrm{E}{-27})R11R_{11}R12R_{12}R13R_{13}R22R_{22}R23R_{23}R33R_{33}
true9658.749.5
HCOVMC-Based E(θ^)\mathbb{E}(\hat{\theta})8.9995.9994.9998.6983.9999.497
MC-Based std⁡(θ^)\operatorname{std}(\hat{\theta})0.0130.0110.0110.0180.0130.025
Method provided std⁡(θ^)\operatorname{std}(\hat{\theta})0.010.0080.0080.0160.0090.020
MDMMC-Based E(θ^)\mathbb{E}(\hat{\theta})9.0016.0014.9998.70349.500
MC-Based std⁡(θ^)\operatorname{std}(\hat{\theta})0.0140.0130.0120.0230.0100.028
Method provided std⁡(θ^)\operatorname{std}(\hat{\theta})0.0130.0120.0130.0210.0130.027

Table II. Specification of the CM R coefficients and an overview of their estimates.

would require measurement duration on the order of years. Figure 7 and Figure 8 illustrate the relationship between the quality of individual noise parameter estimates and the number of measurement N∈[1E5,1E8]N\in[1\mathrm{E}5,1\mathrm{E}8] (equivalent to the total observation period ranging from 6 days to 3 years). The estimation quality is quantified by a t-statistic, defined as tstat=E(a)/std⁡(a)t_{stat}=\mathbb{E}(a)/\operatorname{std}(a). Both methods yield similar trends for most of the estimated parameters. Statistically significant estimates are obtainable for all parameters q1q_1 and RijR_{ij} (assuming a confidence level of 0.95 where t≥2t\geq2) even for the minimum duration of N=1E5N=1\mathrm{E}5. In contrast, for certain q2q_2 (clk1) parameters and drift (clk4), the estimates achieve statistical significance only when N≥2E6N\geq2\mathrm{E}6 (equivalent to a measurement period of approximately three months). It is consistent with previous studies [15], in which the estimation process may produce negative values for q2q_2, a result that is physically non-realizable.

HCOV method: quality of the noise parameter estimates for different values of $N$

Figure 7. HCOV method: quality of the noise parameter estimates for different values of NN (Ts=5T_s = 5 s).

MDM: quality of the noise parameter estimates for different values of $N$

Figure 8. MDM: quality of the noise parameter estimates for different values of NN (Ts=5T_s = 5 s).

The simulation results validate HCOV and MDM as efficient identification methods offering comparable estimation quality.

The relevant parameters in MDM, as the result of the calculation, are as follows: the resampling periods τm\tau_m that minimize the covariance of the estimates (§ 4-B10 Observation II) are τm=5s\tau_m=5\mathrm{s} for q1q_1 and rr (see Figure 3); τm=12180s\tau_m=12180\mathrm{s} for q2q_2 (see Figure 3); τm=9070s\tau_m=9070\mathrm{s} for the estimate of dd (see Figure 1) and Lˉ=8\bar{L}=8 (see Figure 4).

Real data

The historical records of measurements were provided by the ESTEC timing laboratory during year 2022 as part of the ESA project NAVISP-EL1-056. The ensemble consists of triplet AHM atomic clocks iMaser3000 [27]. The nominal

The sampling period of the phase difference measurements is 5 s5\ \mathrm{s} and the dataset contains N=1.59E6N = 1.59\mathrm{E}6 sampling instants (i.e., this corresponds to a three-months data period). The parameter for HCOV is t=20t = 20, where averaging times τˉp\bar{\tau}_p are evenly spaced in a log-space ranging 5 s5\ \mathrm{s} to 7.95E6 s7.95\mathrm{E}6\ \mathrm{s} and the parameters for MDM are S=100S = 100, t=400t = 400, where resampling period τˉp\bar{\tau}_p are evenly spaced in a log-space ranging from 5 s5\ \mathrm{s} to 5⋅[1 589 695101⋅Lˉ−2] s5\cdot\left[\frac{1\,589\,695}{101\cdot\bar{L}-2}\right]\ \mathrm{s}, and Lˉ=[4,5,6,7,8,9,10,11]\bar{L} = [4, 5, 6, 7, 8, 9, 10, 11] i.e., ℓ=8\ell= 8.

The obvious measurement outliers were removed from the real measurements before the parameter estimation methods were applied. The AVARs of individual clocks computed using estimated parameters (dashed lines) and AVAR obtained from data-sheet (solid line) are depicted in Figure 9 and 10. Contrary to the simulation scenario, the parameter estimates obtained by the proposed methods show significant discrepancies. For clocks 1 and 2, the parameter estimates differ by up to 20 %, whereas for clock 3 the differences span several orders of magnitude. These discrepancies may be attributed to (i) an insufficient amount of data (the available three-month record may be too short, leading to high estimation uncertainty) (ii) the presence of additional noise types in real measurements that are included in the model, and (iii) anomalies in measurements that were not fully removed during preprocessing. However, the results provide an indication of the achievable estimation accuracy under realistic conditions. This insight is particularly relevant for subsequent use of the ensemble model in combination and detection algorithms, which should be designed to remain robust in the presence of such uncertainties.

AVAR of the iMaser3000 atomic clock adopted from a datasheet and AVAR of estimated clocks

Figure 9. AVAR of the iMaser3000 atomic clock adopted from a datasheet and AVAR of estimated clocks (HCOV method - real data).

The appropriate parameters in MDM are as follows: the resampling periods τm\tau_m that minimize the covariance of the estimates (§ 4-B10 Observation II) are: τm=5\tau_m = 5 s for q1q_1 and rr (see Figure 3); τm=13 680\tau_m = 13\,680 s for q2q_2 (see Figure 3); τm=5600\tau_m = 5600 s

for the estimate of dd (see Figure 1) and L=5L = 5.

Discussion

Although the motivations and underlying principles of the proposed methods differ, they share the following features:

ii or ijijq1(i)q_1^{(i)} (×1E−27\times1\mathrm{E}{-27})q2(i)q_2^{(i)} (×1E−36\times1\mathrm{E}{-36})d(i)d^{(i)} (×1E−21\times1\mathrm{E}{-21})RijR_{ij} (×1E−27\times1\mathrm{E}{-27})
12312323111222
MDMθ^\hat{\theta}2.3980.9904.4350.2544.4200.1407.7560.7278.2276.1517.729
HCOVMethod provided std(θ^)(\hat{\theta})0.0090.0200.01700.2330.8200.2550.7690.2270.0210.0220.035
MDMθ^\hat{\theta}1.5541.0853.8175.70126.654127.5647.7920.8449.3747.49210.133
HCOVMethod provided std(θ^)(\hat{\theta})0.0190.0130.0175.2308.11017.8672.3103.6260.0550.0440.058

Table 3. An overview of real ensemble clocks parameters estimates.

AVAR curves of the iMaser3000 atomic clock and estimated clocks

Figure 10. AVAR of the iMaser3000 atomic clock adopted from a datasheet and AVAR of estimated clocks (MDM - real data).

  • Independence on state, linear filtering: Both methods prevent the state dynamics from influencing noise estimates. HVAR can be interpreted alternatively as the output of a specific band-pass filter (rectangular averaging followed by the second-order differentiation) that eliminates the effect of the state (see Appendix A). In MDM, this is achieved through the transformation of the augmented measurement vector (37).

  • Noise components decomposition: Figure 3, in the case of the MDM, and the HVAR plot, in the case of the HCOV method, can be seen as visualization of different noise types as a function of the resampling period τm\tau_m. However, while the HCOV method uses regression to fit the HCOV curve at selected points τˉ\bar{\tau} using a model with unknown noise parameters, the MDM first systematically separates the individual noise components and then estimates the noise parameters for the appropriate determined resampling periods τm\tau_m.

  • Transformation into a linear estimation problem(s): HCOV uses the analytical form of HCOV (15), (16), where unknown noise parameters appear linearly. In MDM, this is achieved by using a combination of a specific residue (37), its correlation (44), and the replication matrices Υd\Upsilon_d (35) and Υq1\Upsilon_{q_1}, Υq2\Upsilon_{q_2}, Υr\Upsilon_r (48).

  • Resampling: Whereas HCOV and other Allan like statistics can be interpreted as a multiscale resampling variance, MDM uses explicit resampling for both measurements and the model (32).

  • Bootstrap technique: Both methods use bootstrap techniques

as statistical resampling methods that estimate the statistical properties of θ^\hat{\theta} by repeatedly generating new datasets through observed data sampling. Note that the samples are selected deterministically in both cases.

Conclusions

The article presents two identification methods for determining ensemble clocks noise parameters. The performance was evaluated on both synthetic and real data. While the accuracy of the parameter estimation is primarily constrained by sample size, both methods prove to be computationally efficient, ensuring reliable characterization of noise characteristics under realistic conditions. The proposed methods yield results of similar quality when applied to synthetic data. In a real data case, the results differ, which is due to their different underlying concepts. The choice of method ultimately depends on whether the user prefers a design model fitted to the HCOV plot or a model based on the systematic decomposition of noise into its individual components.

HCOV (HVAR) derivation

HCOV in (14) can be rewritten using the state-space representations (1)–(5) and with the variables rearrangement as

\sigma_{i,j}^{2}(\tau_m)=\frac{1}{6\tau_m^{2}}\mathbb{E}\left\{ \begin{aligned} &\left[ \left(x_{1,k+3m}^{(i+1)}-3x_{1,k+2m}^{(i+1)}+3x_{1,k+m}^{(i+1)}-x_{1,k}^{(i+1)}\right) \\ &-\left(x_{1,k+3m}^{(1)}-3x_{1,k+2m}^{(1)}+3x_{1,k+m}^{(1)}-x_{1,k}^{(1)}\right) \\ &+\left(v_{i,k+3m}-3v_{i,k+2m}+3v_{i,k+m}-v_{i,k}\right) \right]\\ &\times\left[ \left(x_{1,k+3m}^{(j+1)}-3x_{1,k+2m}^{(j+1)}+3x_{1,k+m}^{(j+1)}-x_{1,k}^{(j+1)}\right) \\ &-\left(x_{1,k+3m}^{(1)}-3x_{1,k+2m}^{(1)}+3x_{1,k+m}^{(1)}-x_{1,k}^{(1)}\right) \\ &+\left(v_{j,k+3m}-3v_{j,k+2m}+3v_{j,k+m}-v_{j,k}\right) \right] \right\}. \end{aligned} \tag*{(71)}

This can be rewritten using the third difference of variable gkg_k denoted as Δ3gk=gk+3m−3gk+2m+3gk+m−gk\Delta^3 g_k=g_{k+3m}-3g_{k+2m}+3g_{k+m}-g_k as

σi,j2(τm)=16τm2E{(Δ3x1,k(i+1)−Δ3x1,k(1)+Δ3vi,k)×(Δ3x1,k(j+1)−Δ3x1,k(1)+Δ3vj,k)(72)\begin{aligned} \sigma_{i,j}^{2}(\tau_m)=\frac{1}{6\tau_m^{2}}\mathbb{E}\{(\Delta^3x_{1,k}^{(i+1)}-\Delta^3x_{1,k}^{(1)}+\Delta^3v_{i,k}) \\ &\times\left( \Delta^{3}x_{1,k}^{(j+1)}-\Delta^{3}x_{1,k}^{(1)}+\Delta^{3}v_{j,k} \right) \tag*{(72)} \end{aligned}

Considering that the individual ensemble clocks are uncorrelated (as follows from the block diagonal form of the CM Q\mathbf{Q}) and using E(x⋅y)=cov⁡(x,y)+E(x)E(y)\mathbb{E}(x\cdot y)=\operatorname{cov}(x,y)+\mathbb{E}(x)\mathbb{E}(y), the equation (59) can be simplified to the form

σi,j2(τm)=16τm2(var⁡(Δ3x1,k(1))+cov⁡(Δ3vi,k,Δ3vj,k)+E(Δ3x1,k(i+1)−Δ3x1,k(1)+Δ3vi,k)×E(Δ3x1,k(j+1)−Δ3x1,k(1)+Δ3vj,k)).(73)\sigma_{i,j}^{2}(\tau_m)=\frac{1}{6\tau_m^{2}}\left(\operatorname{var}\left(\Delta^{3}x_{1,k}^{(1)}\right)+\operatorname{cov}\left(\Delta^{3}v_{i,k},\Delta^{3}v_{j,k}\right) +\mathbb{E}\left(\Delta^{3}x_{1,k}^{(i+1)}-\Delta^{3}x_{1,k}^{(1)}+\Delta^{3}v_{i,k}\right) \times\mathbb{E}\left(\Delta^{3}x_{1,k}^{(j+1)}-\Delta^{3}x_{1,k}^{(1)}+\Delta^{3}v_{j,k}\right)\right). \tag*{(73)}

Before focusing on individual members in equation (60), it is convenient to introduce the relations

xk+m(i)=Fmxk(i)+wm(i),(74)\mathbf{x}_{k+m}^{(i)}=\mathbf{F}^{m}\mathbf{x}_{k}^{(i)}+\mathbf{w}_{m}^{(i)}, \tag*{(74)}
xk+2m(i)=Fmxk+m(i)+w~m(i),(75)\mathbf{x}_{k+2m}^{(i)}=\mathbf{F}^{m}\mathbf{x}_{k+m}^{(i)}+\widetilde{\mathbf{w}}_{m}^{(i)}, \tag*{(75)}
xk+3m(i)=Fmxk+2m(i)+w~m(i),(76)\mathbf{x}_{k+3m}^{(i)}=\mathbf{F}^{m}\mathbf{x}_{k+2m}^{(i)}+\widetilde{\mathbf{w}}_{m}^{(i)}, \tag*{(76)}

where Fm=[1mTs01]\mathbf{F}^{m}=\begin{bmatrix}1&mT_s\\0&1\end{bmatrix}, white Gaussian noises wm(i)\mathbf{w}_{m}^{(i)}, w~m(i)\widetilde{\mathbf{w}}_{m}^{(i)} and w~m(i)\widetilde{\mathbf{w}}_{m}^{(i)} are independent and have identical statistical properties, i.e., wm(i),w~m(i),w~m(i)∼N(μm(i),Qm(i))\mathbf{w}_{m}^{(i)},\widetilde{\mathbf{w}}_{m}^{(i)},\widetilde{\mathbf{w}}_{m}^{(i)}\sim\mathcal{N}\left(\boldsymbol{\mu}_{m}^{(i)},\mathbf{Q}_{m}^{(i)}\right) with

μm(i)=d(i)[m2Ts2/2mTs],(77)\boldsymbol{\mu}_{m}^{(i)}=d^{(i)}\begin{bmatrix}m^{2}T_{s}^{2}/2\\mT_s\end{bmatrix}, \tag*{(77)}
Qm(i)=[q1(i)mTs+q2(i)Ts3m3/3q2(i)m2Ts2/2q2(i)m2Ts2/2q2(i)mTs].(78)\mathbf{Q}_{m}^{(i)}= \begin{bmatrix} q_{1}^{(i)}mT_s+q_{2}^{(i)}T_s^{3}m^{3}/3 & q_{2}^{(i)}m^{2}T_s^{2}/2\\ q_{2}^{(i)}m^{2}T_s^{2}/2 & q_{2}^{(i)}mT_s \end{bmatrix}. \tag*{(78)}

Note that (61)–(63) follows from the fact that xk+m\mathbf{x}_{k+m} can be understood as a change in the sampling period of the dynamic system (4)–(5) by a multiple of mm.

Now, the individual members of expression (60) can be covered. The first one is concerned with Δ3x1,k(i)\Delta^{3}x_{1,k}^{(i)} that can be rewritten using equations (61)–(63) as follows

Δ3x1,k(i)=x1,k+3m(i)−3x1,k+2m(i)+3x1,k+m(i)−x1,k(i)=[10](xk+3m(i)−3xk+2m(i)+3xk+m(i)−xk(i))=[10](F3m−3F2m+3Fm−I)xk(i)+(F2m−3Fm+3I)wm(i)+(Fm−3I)w~m(i)+w~m(i).(79)\begin{aligned} \Delta^{3}x_{1,k}^{(i)}=x_{1,k+3m}^{(i)}-3x_{1,k+2m}^{(i)}+3x_{1,k+m}^{(i)}-x_{1,k}^{(i)} \\ &=\begin{bmatrix}1&0\end{bmatrix}\left(x_{k+3m}^{(i)}-3x_{k+2m}^{(i)}+3x_{k+m}^{(i)}-x_{k}^{(i)}\right) \\ &=\begin{bmatrix}1&0\end{bmatrix}\left(\mathbf{F}^{3m}-3\mathbf{F}^{2m}+3\mathbf{F}^{m}-\mathbf{I}\right)\mathbf{x}_{k}^{(i)} \\ &+\left(\mathbf{F}^{2m}-3\mathbf{F}^{m}+3\mathbf{I}\right)\mathbf{w}_{m}^{(i)}+\left(\mathbf{F}^{m}-3\mathbf{I}\right)\widetilde{\mathbf{w}}_{m}^{(i)}+\widetilde{\mathbf{w}}_{m}^{(i)}. \tag*{(79)} \end{aligned}

It is clear that (F3m−3F2m+3Fm−I)\left(\mathbf{F}^{3m}-3\mathbf{F}^{2m}+3\mathbf{F}^{m}-\mathbf{I}\right) is a zero matrix. Thus, Δ3x1,k(i)\Delta^{3}x_{1,k}^{(i)} depends solely on the noise characteristics as

Δ3x1,k(i)=[10]([1mTs01]wm(i)+[−2mTs0−2]w~m(i)+w~m(i))=[1−mTs]wm(i)+[−2mTs−2]w~m(i)+[10]w~m(i).(80)\begin{aligned} \Delta^{3}x_{1,k}^{(i)}=\begin{bmatrix}1&0\end{bmatrix}\left(\begin{bmatrix}1&mT_s\\0&1\end{bmatrix}\mathbf{w}_{m}^{(i)}+\begin{bmatrix}-2mT_s\\0&-2\end{bmatrix}\widetilde{\mathbf{w}}_{m}^{(i)}+\widetilde{\mathbf{w}}_{m}^{(i)}\right) \\ &=\begin{bmatrix}1&-mT_s\end{bmatrix}\mathbf{w}_{m}^{(i)}+\begin{bmatrix}-2mT_s&-2\end{bmatrix}\widetilde{\mathbf{w}}_{m}^{(i)}+\begin{bmatrix}1&0\end{bmatrix}\widetilde{\mathbf{w}}_{m}^{(i)}. \tag*{(80)} \end{aligned}

One can easily obtain mean and variance of Δ3x1,k(i)\Delta^{3}x_{1,k}^{(i)} as

E(Δ3x1,k(i))=([1−mTs]+[−2mTs−2]+[10])μm(i)=0(81)\mathbb{E}\left(\Delta^{3}x_{1,k}^{(i)}\right)=\left(\begin{bmatrix}1&-mT_s\end{bmatrix}+\begin{bmatrix}-2mT_s&-2\end{bmatrix}+\begin{bmatrix}1&0\end{bmatrix}\right)\boldsymbol{\mu}_{m}^{(i)}=0 \tag*{(81)}
var⁡(Δ3x1,k(i))=[1−mTs]Qm(i)(⋅)T+[−2mTs−2]Qm(i)(⋅)T+[10]Qm(i)(⋅)T=6q1(i)τm+q2(i)τm3.(82)\operatorname{var}\left(\Delta^{3}x_{1,k}^{(i)}\right)=\begin{bmatrix}1&-mT_s\end{bmatrix}\mathbf{Q}_{m}^{(i)}(\cdot)^{\mathsf{T}}+\begin{bmatrix}-2mT_s&-2\end{bmatrix}\mathbf{Q}_{m}^{(i)}(\cdot)^{\mathsf{T}}+\begin{bmatrix}1&0\end{bmatrix}\mathbf{Q}_{m}^{(i)}(\cdot)^{\mathsf{T}}=6q_{1}^{(i)}\tau_m+q_{2}^{(i)}\tau_m^{3}. \tag*{(82)}

Next, let’s focus on Δ3vi,k\Delta^{3}v_{i,k}. Since

Δ3vi,k=vi,k+3m−3vi,k+2m+3vi,k+m+vi,k(83)\Delta^{3}v_{i,k}=v_{i,k+3m}-3v_{i,k+2m}+3v_{i,k+m}+v_{i,k} \tag*{(83)}

and vkv_k is an independent sequence, for mean and variance of Δ2vi,k\Delta^{2}v_{i,k} can be stated

E(Δ3vi,k)=0,var⁡(Δ3vi,k)=20Rii.(84)\mathbb{E}\left(\Delta^{3}v_{i,k}\right)=0,\qquad\operatorname{var}\left(\Delta^{3}v_{i,k}\right)=20R_{ii}. \tag*{(84)}

Finally, the covariance cov⁡(Δ3vi,k,Δ3vj,k)\operatorname{cov}(\Delta^{3}v_{i,k},\Delta^{3}v_{j,k}) can be deduced as

cov⁡(Δ3vi,k,Δ3vj,k)=Rij+9Rij+9Rij+Rij=20Rij.(85)\operatorname{cov}\left(\Delta^{3}v_{i,k},\Delta^{3}v_{j,k}\right)=R_{ij}+9R_{ij}+9R_{ij}+R_{ij}=20R_{ij}. \tag*{(85)}

Using (68), (69), (71) and (72), HCOV σi,j2(τm)\sigma_{i,j}^{2}(\tau_m) from (60) results in (15). Finally, HVAR σi,i2(τm)\sigma_{i,i}^{2}(\tau_m) given by (16) can be obtained analogously by the procedure (14) and (58)–(72).

Sample-Based Covariance Estimation

Consider the following linear equation

αk=Dω+πk,k=1,2,⋯ ,N,(86)\alpha_k=\mathbf{D}\boldsymbol{\omega}+\boldsymbol{\pi}_k,\quad k=1,2,\cdots,N, \tag*{(86)}

where αk\alpha_k is a known measurement, D\mathbf{D} is a known matrix, ω\boldsymbol{\omega} is a vector of unknown parameters, and πk\boldsymbol{\pi}_k is zero mean noise with CM cov⁡(πk+r,πk)=Πr≠0\operatorname{cov}(\boldsymbol{\pi}_{k+r},\boldsymbol{\pi}_k)=\mathbf{\Pi}_r\ne0 for abs⁡(r)<L\operatorname{abs}(r)<L and Πr=0\mathbf{\Pi}_r=0 for abs⁡(r)≥L\operatorname{abs}(r)\ge L.

The estimate of ω\boldsymbol{\omega} using LS for a total of NN available measurements is the following

ω^N=(DT[I⋯I][I⋮I]D)−1DT[I⋯I][α1⋮αN]=DT1N∑k=1Nαk.(87)\widehat{\boldsymbol{\omega}}_N=\left(\mathbf{D}^{\mathsf{T}}\begin{bmatrix}\mathbf{I}&\cdots&\mathbf{I}\end{bmatrix}\begin{bmatrix}\mathbf{I}\\\vdots\\\mathbf{I}\end{bmatrix}\mathbf{D}\right)^{-1}\mathbf{D}^{\mathsf{T}}\begin{bmatrix}\mathbf{I}&\cdots&\mathbf{I}\end{bmatrix}\begin{bmatrix}\alpha_1\\\vdots\\\alpha_N\end{bmatrix} =\mathbf{D}^{\mathsf{T}}\frac{1}{N}\sum_{k=1}^{N}\alpha_k. \tag*{(87)}

The CM of the estimate (74) is determined by the following

cov⁡(ω^N)=DT1N2∑i=1N∑k=1Ncov⁡(πk,πi)(DT)T(88)\operatorname{cov}(\widehat{\boldsymbol{\omega}}_N)=\mathbf{D}^{\mathsf{T}}\frac{1}{N^{2}}\sum_{i=1}^{N}\sum_{k=1}^{N}\operatorname{cov}(\boldsymbol{\pi}_k,\boldsymbol{\pi}_i)(\mathbf{D}^{\mathsf{T}})^{\mathsf{T}} \tag*{(88)}
=DT(NΠ0N2+(N−1)(Π1+Π1T)N2+⋯+(N−(L−1))(ΠL−1+ΠL−1T)N2)(DT)T.(89)=\mathbf{D}^{\mathsf{T}}\left(\frac{N\mathbf{\Pi}_0}{N^{2}}+\frac{(N-1)(\mathbf{\Pi}_1+\mathbf{\Pi}_1^{\mathsf{T}})}{N^{2}}+\cdots+\frac{(N-(L-1))(\mathbf{\Pi}_{L-1}+\mathbf{\Pi}_{L-1}^{\mathsf{T}})}{N^{2}}\right)(\mathbf{D}^{\mathsf{T}})^{\mathsf{T}}. \tag*{(89)}

It can be shown that the matrix inequality 2Π0⪰(Π1+Π1T)⪰⋯⪰(ΠL+ΠLT)=02\mathbf{\Pi}_0\succeq(\mathbf{\Pi}_1+\mathbf{\Pi}_1^{\mathsf{T}})\succeq\cdots\succeq(\mathbf{\Pi}_L+\mathbf{\Pi}_L^{\mathsf{T}})=0 holds i.e., the dependence cov⁡(πk+r,πk)\operatorname{cov}(\boldsymbol{\pi}_{k+r},\boldsymbol{\pi}_k) decreases as abs⁡(r)\operatorname{abs}(r) increases from 0 to LL. Based on this, the user chose a linearly decreasing dependency as the most appropriate compromise between the absence of dependency (i.e., Π0≠0\mathbf{\Pi}_0\ne0 and Π1=Π2=⋯=ΠL=0\mathbf{\Pi}_1=\mathbf{\Pi}_2=\cdots=\mathbf{\Pi}_L=0) and full dependency (i.e., 2Π0=(Π1+Π1T)=⋯=(ΠL−1+ΠL−1T)2\mathbf{\Pi}_0=(\mathbf{\Pi}_1+\mathbf{\Pi}_1^{\mathsf{T}})=\cdots=(\mathbf{\Pi}_{L-1}+\mathbf{\Pi}_{L-1}^{\mathsf{T}}) and ΠL=0\mathbf{\Pi}_L=0). Therefore the estimate (Πr+ΠrT)=2Π0L−rL(\mathbf{\Pi}_r+\mathbf{\Pi}_r^{\mathsf{T}})=2\mathbf{\Pi}_0\frac{L-r}{L} for 0≤abs⁡(r)≤L0\le\operatorname{abs}(r)\le L is used. Using this estimate in (75b), the estimate of the CM of the estimate can be obtained by

cov⁡(ω^N)^=DT(NΠ0N2+2(N−1)Π0L−1LN2+⋯+2(N−(L−1))Π01LN2)(DT)T(90)\widehat{\operatorname{cov}(\widehat{\boldsymbol{\omega}}_N)}=\mathbf{D}^{\mathsf{T}}\left(\frac{N\mathbf{\Pi}_0}{N^{2}}+\frac{2(N-1)\mathbf{\Pi}_0\frac{L-1}{L}}{N^{2}}+\cdots+\frac{2(N-(L-1))\mathbf{\Pi}_0\frac{1}{L}}{N^{2}}\right)(\mathbf{D}^{\mathsf{T}})^{\mathsf{T}} \tag*{(90)}
=DTΠ0(DT)T(1N+∑i=1L−12(N−i)N2L−iL).(91)=\mathbf{D}^{\mathsf{T}}\mathbf{\Pi}_0(\mathbf{D}^{\mathsf{T}})^{\mathsf{T}}\left(\frac{1}{N}+\sum_{i=1}^{L-1}\frac{2(N-i)}{N^{2}}\frac{L-i}{L}\right). \tag*{(91)}

The relation (76b) is useful when the estimate of the CM of the estimate cov⁡(ω^N)\operatorname{cov}(\widehat{\boldsymbol{\omega}}_N) for a total of NN measurements is available, and the CM of the estimate cov⁡(ω^M)\operatorname{cov}(\widehat{\boldsymbol{\omega}}_M) for a total of MM measurements is needed. The estimate can be obtained by

cov⁡(ω^M)=cov⁡(ω^N)C(M,L)C(N,L).(92)\operatorname{cov}(\widehat{\boldsymbol{\omega}}_M)=\operatorname{cov}(\widehat{\boldsymbol{\omega}}_N)\frac{C(M,L)}{C(N,L)}. \tag*{(92)}

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