2008
DOI: 10.1088/0026-1394/45/6/s17
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The Ornstein–Uhlenbeck process as a model of a low pass filtered white noise

Abstract: The Ornstein-Uhlenbeck process is presented with its main mathematical properties and with original results on the first crossing times in case of two threshold barriers. The interpretation as filtered white noise, its stationary spectrum, and Allan variance are also presented for easiness of use in the time and frequency metrology field. An improved simulation scheme for the evaluation of first passage times between two barriers is also introduced.

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Cited by 84 publications
(52 citation statements)
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“…Since the CBC panel is typically ordered once or just a few times a day, we used the default Gaussian process window size of seven days. The covariance function is the combination of the mean reverting and the periodic functions( [16]). The mean reverting function forces the process to approach the long term mean, but at the same time permits temporary deviations from the mean corresponding to episodic events or complications.…”
Section: Resultsmentioning
confidence: 99%
“…Since the CBC panel is typically ordered once or just a few times a day, we used the default Gaussian process window size of seven days. The covariance function is the combination of the mean reverting and the periodic functions( [16]). The mean reverting function forces the process to approach the long term mean, but at the same time permits temporary deviations from the mean corresponding to episodic events or complications.…”
Section: Resultsmentioning
confidence: 99%
“…However, if ∆t is comparable to or larger than the instantaneous time constant of the circuit, then the circuit node voltage will relax back to its original value between pulses and this is not physically accurate. This situation is well described by the Ornstein-Uhlenbeck process [2].…”
Section: Ornstein-uhlenbeck Process -The Effect Of Response Time On Nmentioning
confidence: 95%
“…One way of doing it was implementing the Ornstein-Uhlenbeck process (OU-process), which is a stochastic process that allowed us to simulate small random variability. The OU-process describes the velocity of the movement of a Brownian particle considering the friction and is a stationary Gauss-Markov process (Enrico Bibbona, 2008).…”
Section: Noise Calibration Ornstein-uhlenbeck Processmentioning
confidence: 99%