I discuss a novel technique for periodically extending by reflection an ordered series of phase-difference {xk.} to yield estimation of new frequency and time variances having improved longterm confidence and the same mean as the Allan variance. In addition, I describe a correction to a negative bias in the sample variance based on the actual number of observations in the measurements at long t...

Between-day variance is an ambiguous term representing either total variance or pure between-day variance. In either case, it is often incorrectly calculated even though analysis of variance (ANOVA) and other excellent methods of estimation are available. We used statistical theory to predict the magnitude of error expected from using several intuitive approaches to estimation of variance compo...

In this paper, we show how to exactly sample from the distribution of the maximum of a random walk with negative drift. We also explore related variance reduction methods.

We propose a method for extending a given asset pricing formula to account for two additional sources of risk: the risk associated with future changes in market–calibrated parameters and the remaining risk associated with idiosyncratic variations in the individual assets described by the formula. The paper makes simple and natural assumptions for how these risks behave. These extra risks should...

Concerning a single major league at bat, the percentage of variance in batting performance attributable to skill differentials among major league baseball players can be calculated statistically. The statistically appropriate calculation is seriously discrepant with intuitions about the influence of skill in batting performance. This paradoxical discrepancy is discussed in terms of habits of th...

The reverberation time is a key feature for describing the acoustic properties of a reverberant room. It can be computed from a measured Room Impulse Response but in many applications it has to be estimated blindly. Existing blind methods give accurate estimates but they often exhibit high variance across different speakers. In this paper, a low variance blind estimator of the reverberation tim...