# HG changeset patch
# User Daniele Nicolodi <daniele.nicolodi@obspm.fr>
# Date 1397839494 -7200
# Node ID 3dcd4cfd8f82b8079e57db95b02e0421d4407c09

Import

diff -r 000000000000 -r 3dcd4cfd8f82 .hgignore
--- /dev/null	Thu Jan 01 00:00:00 1970 +0000
+++ b/.hgignore	Fri Apr 18 18:44:54 2014 +0200
@@ -0,0 +1,6 @@
+syntax: glob
+*~
+*.c
+*.so
+*.pyc
+build/
\ No newline at end of file
diff -r 000000000000 -r 3dcd4cfd8f82 __init__.py
--- /dev/null	Thu Jan 01 00:00:00 1970 +0000
+++ b/__init__.py	Fri Apr 18 18:44:54 2014 +0200
@@ -0,0 +1,1 @@
+from .allan import *
diff -r 000000000000 -r 3dcd4cfd8f82 _allan.pyx
--- /dev/null	Thu Jan 01 00:00:00 1970 +0000
+++ b/_allan.pyx	Fri Apr 18 18:44:54 2014 +0200
@@ -0,0 +1,86 @@
+import numpy as np
+cimport numpy as np
+cimport cython
+
+@cython.boundscheck(False)
+@cython.wraparound(False)
+@cython.cdivision(True)
+def _xmvar(np.ndarray[np.double_t, ndim=1] x, int m):
+
+    cdef double c
+    cdef double v
+    cdef int n = x.shape[0]
+    cdef unsigned int j
+    cdef unsigned int i
+
+    c = 0
+    for j in range(n - 3 * m + 1):
+        v = 0
+        for i in range(j, j + m):
+            v += (x[i + 2 * m] - 2 * x[i + m] + x[i]) / m
+        c += v * v
+    return c / (2.0 * m*m * (n - 3 * m + 1))
+
+
+@cython.boundscheck(False)
+@cython.wraparound(False)
+@cython.cdivision(True)
+def _xmvar2(np.ndarray[np.double_t, ndim=1] x, np.ndarray[np.int_t, ndim=1] mm):
+
+    cdef double z
+    cdef double zi
+    cdef unsigned int n = x.shape[0]
+    cdef unsigned int i
+    cdef unsigned int k
+    cdef unsigned int m
+    cdef np.ndarray[np.double_t, ndim=1] w = np.empty([n + 1, ], np.double)
+    cdef np.ndarray[np.double_t, ndim=1] mvar = np.empty([mm.shape[0], ], np.double)
+
+    mvar.fill(np.nan)
+
+    w[0] = 0.0
+    for i in range(n):
+        w[i + 1] = w[i] + x[i]
+
+    for k, m in enumerate(mm):
+        if 3 * m > n:
+            continue
+        z = 0
+        for i in range(n - 3 * m + 1):
+            zi = (w[i + 3 * m] - 3 * w[i + 2 * m] + 3 * w[i + m] - w[i]) / m
+            z += zi * zi
+        mvar[k] = z / (2.0 * m*m * (n - 3 * m + 1))
+    
+    return mvar
+
+
+@cython.boundscheck(False)
+@cython.wraparound(False)
+@cython.cdivision(True)
+def _xavar(double[:] x, int[:] mm):
+
+    cdef double z
+    cdef double zi
+    cdef unsigned int n = x.shape[0]
+    cdef unsigned int i
+    cdef unsigned int k
+    cdef unsigned int m
+    cdef int N
+
+    r = np.empty([mm.shape[0], ], np.double)
+    r.fill(np.nan)
+    cdef double[::1] avar = r
+
+    for k, m in enumerate(mm):    	
+        if m < 1:
+            continue
+        N = (n // m) - 2
+        if N < 1:
+            continue
+        z = 0
+        for i in range(N):
+            zi = x[i * m] - 2 * x[(i + 1) * m] + x[(i + 2) * m]
+            z += (zi * zi)
+        avar[k] = z / (2.0 * m*m * N)
+
+    return r
diff -r 000000000000 -r 3dcd4cfd8f82 allan.py
--- /dev/null	Thu Jan 01 00:00:00 1970 +0000
+++ b/allan.py	Fri Apr 18 18:44:54 2014 +0200
@@ -0,0 +1,148 @@
+import numpy as np
+from scipy import polyfit, polyval
+import matplotlib.pyplot as plt
+import numexpr
+
+__all__ = ['outliers', 'detrend', 'fastdetrend', 
+           'adev', 'xadev', 'xmdev', 'xtdev', 'xavar', 'xmvar', ]
+
+
+def outliers(y, alpha=6, remove=False):
+    """Detect and optionally remove outliers"""
+    
+    m = np.mean(y)
+    v = np.var(y)
+
+    outliers = np.abs(y - m) > (alpha * np.sqrt(v))
+
+    if remove:
+        x = lambda z: z.nonzero()[0]
+        y[outliers] = np.interp(x(outliers), x(~outliers), y[~outliers])
+
+    return np.nonzero(outliers)[0]
+
+
+def detrend(y, order=1):
+    """Detrend"""
+
+    x = np.arange(y.size)
+    p = polyfit(x, y, order)
+    y = y - polyval(p, x)
+    return y
+
+
+def fastdetrend(y, order=1, downsample=1000):
+    # time base
+    x = np.arange(y.size)
+    # compute detrend polynomial from downsampled data
+    p = polyfit(x[::downsample], y[::downsample], order)
+    
+    # construct numexpr expression
+    expr = []
+    args = {'y': y, 'x': x}
+    for i in range(order + 1):
+        expr.append("p%d" % i + "*x" * i)
+        args["p%d" % i] = p[order - i]
+    expr = "y - (%s)" % " + ".join(expr)
+
+    # evaluate expression
+    y = numexpr.evaluate(expr, local_dict=args)
+    return y
+
+
+def adev(x, tau, sampl=1.0):
+    """Allan deviation"""
+
+    x = np.asarray(x)
+    tau = np.asarray(tau)
+
+    # allocate output vectors
+    adev = np.zeros(tau.size)
+    dadev = np.zeros(tau.size)
+
+    # samples
+    n = x.size
+    # partitioning
+    p = np.floor(tau * sampl).astype(int)
+
+    for i, m in enumerate(p):
+        d = x[0:n - n % m].reshape(-1, m)
+        y = np.mean(d, axis=1)
+        adev[i] = np.sqrt(0.5 * np.mean(np.diff(y)**2))
+        dadev[i] = adev[i] / np.sqrt(y.size)
+
+    return adev, dadev
+    
+
+from _allan import _xmvar, _xmvar2, _xavar
+
+# Functions to compute Allan deviation and modified Allan deviation
+# from time error data.  For an oscillator described by the equation
+# v(t) = v0 * cos(2*pi * f0 * t + phi(t)) where f0 is the nominal
+# oscillator frequency the time deviation is computed as: x(t) =
+# phi(t) / (2*pi * f0)
+#
+# The Symmetricom 5115A phase analyzer outputs data in units of cycles
+# of the input signal.  To obtain time deviation from the data stream
+# d(t) it is sufficient to compute: x(t) = d(t) / f0 where f0 is the
+# nominal frequency of the oscillator under test
+
+def xmvar0(x, tau, tau0=1.0):
+    
+    x = np.asarray(x)
+    tau = np.asarray(tau)
+
+    # allocate output vectors
+    mvar = np.zeros(tau.size)
+
+    # partitioning
+    p = (tau // tau0).astype(int)
+
+    for k, m in enumerate(p):
+        mvar[k] = _xmvar(x, m)
+        # c = 0
+        # for j in xrange(x.size - 3 * m + 1):
+        #     v = 0
+        #     for i in xrange(j, j + m):
+        #         v += (x[i + 2 * m] - 2 * x[i + m] + x[i]) / m
+        #     c += v*v
+        # mavar[k] = c / (2.0 * m*m * (n - 3 * m + 1))
+
+    return np.sqrt(mvar) / tau0
+
+
+def xmvar(x, tau, tau0=1.0):
+    
+    x = np.asarray(x)
+    tau = np.asarray(tau)
+
+    # partitioning
+    p = (tau // tau0).astype(int)
+
+    return _xmvar2(x, p) / (tau0 * tau0)
+
+
+def xmdev(x, tau, tau0=1.0):
+    
+    return np.sqrt(xmvar(x, tau, tau0))
+
+
+def xtdev(x, tau, tau0=1.0):
+    
+    return np.sqrt(xmvar(x, tau, tau0)) * tau / np.sqrt(3.0)
+
+
+def xavar(x, tau, tau0=1.0):
+    
+    x = np.asarray(x)
+    tau = np.asarray(tau)
+
+    # partitioning
+    p = (tau // tau0).astype(int)
+
+    return _xavar(x, p) / (tau0 * tau0)
+
+
+def xadev(x, tau, tau0=1.0):
+    
+    return np.sqrt(xavar(x, tau, tau0))
diff -r 000000000000 -r 3dcd4cfd8f82 setup.py
--- /dev/null	Thu Jan 01 00:00:00 1970 +0000
+++ b/setup.py	Fri Apr 18 18:44:54 2014 +0200
@@ -0,0 +1,9 @@
+from distutils.core import setup
+from distutils.extension import Extension
+from Cython.Build import cythonize
+from numpy import get_include
+
+ext_modules = cythonize([Extension("_allan", ["_allan.pyx"]), ])
+
+setup(ext_modules = ext_modules,
+      include_dirs = get_include())