The use of the Allan deviation for the identification and

measurement of noise and drift in measurement data.

D V Land
University of Glasgow
2014

Introduction

‘The Allan deviation inherently provides a measure of the behaviour of the variability
of a quantity as it is averaged over different measurement time periods which allows
it to directly quantify and to simply differentiate between different types of signal
variation. The standard deviation does not provide a direct way to distinguish types of
noise or variation and thus to distinguish sources or causes of measurement
variability.’ (Allan 1987)

All physical measurement systems have a measurement resolution that ultimately

must be limited by thermally induced or similar random fluctuations, ‘noise’, of the
measured quantity. All practical measurement systems will also experience some
degree of variation with time of parameters, ‘drift’, which affect the value of the
measured quantity and limit measurement accuracy. Both noise and drift can take a
variety of forms having different measurement time or frequency dependencies.
‘White’ or Gaussian noise, ‘flicker’ or ‘1/f’ noise, and random-walk drift are examples
commonly met in electronic measurement devices. As an aid to understanding system
performance it is helpful to analyse the noise and drift of a measurement quantity in a
way that may allow identification of causal sources and determination of their
importance. This requires determination of the time or frequency dependence of the
noise and drift components present in the value of the measured quantity. The
commonly used standard deviation measure of variation does not provide a simple
way to distinguish noise or drift types, with the magnitudes of these components also
often difficult to estimate when they are overlaid in a time or spectral power density
plot. In contrast the Allan deviation measure provides, directly, magnitude versus time
separation which in the form of a log-log plot allows the different noise and drift
types to be readily identified by the slopes of the different plot regions (Allan 1966,
1987, Levine 1999). The Allan deviation also provides a measure that avoids the
problem of the divergence of the standard deviation as the number of measurement

1
samples is increased in the presence of flicker noise and drift, and the associated
inability to define precisely the time average of the measurement (Allan 1966, Helisto
and Heikki 2001, Witt and Reymann 2000, Witt 2005). The Allan deviation method
has been very extensively developed and applied to the measurement of atomic clock
stability, but its application to general measurement noise analysis has been relatively
limited (Allan 1987, Huntley 1988, Park et al 1991, Goodberlet and Mead 2006). Its
application to physical measurement systems has, however, recently been extended to
applications as diverse as the study of the stability of voltage reference standards
(Helisto and Heikki 2001, Witt and Reymann 2000, Witt 2005), the characterisation of
the performance of several microwave radiometry systems (Land et al 2007, Britcliffe
et al 2012), and the performance of optical tweezers (Czerwinski et al 2009, Berg-
Sorensen and Flyvbjerg 2004). This note is an extension of the microwave radiometry
work, intended to explain and illustrate the method and the wider applicability of
Allan deviation analysis.

The Allan deviation for measurement analysis

Definition and time dependence

The Allan variance is a two-sample variance formed by the average of the squared
differences between successive values of a regularly measured quantity taken over
sampling periods from the measuring interval up to half the maximum measurement
time (Allan 1987, Levine 1999). In comparison with the commonly used standard
variance, the Allan variance is based on measurement to measurement variation rather
than on individual measurement to mean measurement variation. For N measurements
of values yi at interval 0 the Allan variance is (Barnes et al 1971, Allan 1987)

N 1

 y
i 1
i 1  yi  2
(1)
 y2 ( 0 ) 
2 N  1

The standard variance of the same measurement values is

N

 y i  y2
1 
 N
1 
N  
2

2  i 1
 N  1
 
 N  1  i 1
yi2    yi  
N  i 1  
(2)
 

2
Taking any adjacent pair of measurements, N = 2 and the numerator for the Allan
variance is

 yi 1  yi  2  yi21  2 yi yi 1  yi2 (3)

and the numerator of the standard variance is

yi2  yi21 
1
2 2

 yi  yi 1  2  1 yi21  2 yi yi 1  yi2  (4)

For the uniform spectral density of ‘white’ or Gaussian noise, for which individual
measurements are uncorrelated, the variances must be independent of the
measurement interval. If the Allan variance is defined with the factor of 2 in the
denominator as in (1), it then has the same value as the standard variance for
measurement of white noise data.

The dependence of the Allan variance on time interval within the measurement set can
be found by averaging n adjacent values of yi. Then for τ = nτ0 this can be expressed
as (Allan 1987)
N  2 n 1
1
 2y   
2 N  2n  1 2
  yi  2n  2 yi  n  yi  2 (5)
i 1

The Allan deviation (ADEV) is, as for the standard deviation, the square root of the
variance

N 1
  yi 1  yi  2 (6)
 y ( 0 )  i 1
2 N  1

or, for τ = nτ0

N  2 n 1
  yi  2 n  2 yi  n  yi  2 (7)
i 1
 ( ) 
2 2  N  2n  1

For Gaussian noise measurements the averaging over n adjacent values to explore the
ADEV time dependence will reduce the apparent fluctuation of the measurement

1
values by the factor and the ADEV value relative to the basic sampling rate
n

value of (6) by the same factor.

3
Frequency dependence of the analysis process

1. Fourier transformation of the sampling and processing steps of forming the Allan
variance allow the transformation between the data variability measure in the
frequency domain, the spectral density Sy(f), and the time domain variability, the Allan
variance (AVAR), as (Barnes 1971, Rutman 1971)

sin 2 (f ) 
 sin 2 ( 2f ) 

2

y ( )  2 S y ( f )
(f ) 2  

1
4 sin 2
(f )
df


0


sin 4  f  df
2
Sy f   f  2
(9)
0

This is the convolution of the spectrum of the measured data with the effective filter
response of the Allan variance forming process of Figure 1.

Filter function
1

4 2
((sin(pi*x)) )/((pi*x) )

0.1

0.01

0.001
0.1 1 10
frequency - sample-time product

Figure 1: The effective frequency domain response of the Allan variance forming
process (Cutler 1966, Barnes et al. 1971, Rutman 1974).

4
2. The data variation measure in the frequency domain, Sy(f), can usefully be
expressed as a sum of power-law dependent spectral density terms (Barnes et al.
1971, Thomson et al. 2005)

Sy f    h f   h 2 f  2  h1 f 1  h0 f (10)



The processes contributing these terms are identified as

1  2  2  from
i) α = 2, dependence: ‘Random walk’, for which  2
    h2
f2 y
6

(9);

1
ii) α = 1, dependence: ‘Flicker noise’, for which y    h1 2 ln 2 ;
2
f

h0
iii) α = 0, f independent: ‘White noise’, for which  y    2  .
2

(Barnes et al. 1971, Thomson et al. 2005)

The Allan deviations for these processes then have sample averaging-time dependent
variations as

 2  0.5
i) Random walk:  y    h 2  
 6

ii) Flicker noise:  y    h1 2 ln 2 (no dependence)

h  0.5
iii) White noise:  y    0 
2

A log-log plot of Allan deviation (ADEV) versus sample averaging time then allows
different noise types to be distinguished by the slope of the plot in particular time
regions (the τ dependence) and the magnitudes of these noise components to be
specified (Lesage and Audoin 1973, Allan 1987, Levine 1999).

To these three slope regions may be added a fourth at the longest measurement times
due to steady drift (non-convergent), which, from (6) in the linear limit, relates to the
rate of drift as

 y  m 0    y  n 0  1  ym  yn 
 (11)
 m  n  0 2  m  n  0

5
 1
For linear drift the longer averaging time ADEV values then tend to times the
2

magnitude of the average gradient of the measurement data and the plot slope to 1
(Greenhall 1981) . For zero drift the longest averaging time ADEV values should tend
to zero.

Combining the four slope regions and recognising the usual relative time
dependencies of the noise and drift components then generates the idealised ADEV
plot of Figure 2 which forms the basis for the noise identification process.

Figure 2: Idealised log-log Allan deviation (ADEV) plot showing the four slope
regions of interest for the identification of noise type and drift (Allan 1987).

3. The definition of the Allan deviation is such that for a white noise signal of uniform
spectral power density extending well beyond the measurement data generating
sampling frequency it is equal to the standard deviation of that signal (Barnes et al
1971, Allan 1987). For many practical signal measurement systems the measured
noise spectrum extends only to frequencies comparable to the signal measuring or
sampling rate. This is particularly the case where analogue signal processing is used
to provide pre analog-to-digital anti-alias filtering which may then be followed by
numerical filtering to obtain a wanted overall time or frequency response for the
system. This restricted data spectrum will then contain reduced measurement

6
component contributions to the Allan deviation analysis for the shortest sample
averaging times in comparison to the extended uniform spectrum, and the Allan
deviation estimates will be less than the standard deviation value for the signal. If the
power spectral density Sy(f) of the data is known the correction to be applied to the
Allan deviation to obtain the equivalent standard deviation can be found from the
convolution of the data spectrum with the effective Allan variance transfer function in
comparison with the noise spectrum alone (Barnes et al 1971, Rutman 1974).

For an overall measurement frequency response of H(f) prior to forming the data
stream for analysis, the Allan variance is then

�
2 sin 4   f 
 y2     2�H f Sy  f  df (12)
0   f  2

and the standard variance is

�
H 2  f  S y  f  df
2 � (13)
0

(Panter 1965, Schwartz 1970, Witt and Reyman 2000)

For a uniform data noise spectrum the Allan deviation (ADEV) to standard deviation
(SDEV) ratio is then

 
 sin  2f  df
y 4

2 H 2 f
H  f  df
2
 (14)

0
 f  0

Figure 3 illustrates the effect of this factor for a uniform noise spectrum cut off at unit

frequency with H  f   1, f �1 and H  f   0, f > 1 .

7
 ADEV/SDEV ratio
1

0.5

0.2

0.1
0.1 1 10
Normalised Allan deviation averaging time 

Figure 3: Reduction in Allan deviation (ADEV) relative to standard deviation

(SDEV) for a white noise signal with uniform spectral power density up to cut-off at
unit frequency.

Taking the approximately applicable case of uniform white noise to a cut-off

frequency B

 2y   h 1 ADEV 1
 0 h0 B  , which for B  1 gives 
2 2 2B SDEV 2

The Allan deviation to standard deviation conversion can be by

a) fitting of the ADEV/SDEV ratio function to the region of the measurement

white noise data (rigorous but still with the dependencies of b) and c) below),

b) the ADEV value at the basic sampling time τ0 (very dependent on a knowledge
of the high-frequency response of the measurement system),

c) the ADEV curve maximum value in the white noise region (simple and usually
in a low error region),

d) slope fitting and projection in the slope 0.5 region (may be dependent on the
intersection of the white noise with lower frequency variation components).

8
Experience has shown that if a white noise region is sufficiently clear of low
frequency noise and drift for a slope -0.5 line to be fitted to the near-linear region on
an ADEV/SDEV plot, its projected value at  B  1 will be close to 0.707 for low-
order signal filters of practical interest (Figure 9). The effect of limited anti-aliassing
filtering has been observed, but for practical filtering is found to be small (Cerwinski
et al. 2009). The effect of filter order on the ADEV/SDEV maximum is also found to
be small, of the order of �4% , and the value close to 0.72.

Examples of Allan deviation analysis

For most of this work the measurement data has been analysed with the aid of the
AlaVar 5 software package (Makdissi 2003; http://www.alamath.com/alavar.html ).
This software calculates the Allan deviation (ADEV) and related measures for
doubling numbers of averaging samples (doubling averaging time periods τ) across
the measurement data set. Other software packages can provide ADEV values for all
possible sampling periods allowed by the data set (NIST 2006;
http://www.itl.nist.gov/div898/software/dataplot/refman1/ch2/allan_sd.pdf ) though
this additional information has not been found to be of particular practical value for
the applications investigated. The NIST DATAPLOT Reference Manual for Allan
deviation computation contain examples of plots of data showing white noise, flicker
noise and random walk type variations along with the corresponding spectral density
plots. These plots illustrate well the difficulty of estimating variance from spectral
density plots.

The AlaVar package also usefully provides properly estimated upper and lower
bounds for the ADEV values (Lesage and Audoin 1973, Makdissi 2003) and allows
linear fits to specified regions of interest.

9
1. Resistor noise

Figure 4(a): Resistor, circuit and quantisation noise on a signal measured by an

ADC. Sampling period is 1 s.

Figure 4(b): Allan deviation plot for the data of Figure 4(a). The marked line has
slope -0.5 and shows that the signal variations are almost entirely of white or
Gaussian noise nature. The drop of the ADEV values at the longest averaging times
shows that shows that the drift rate is negligible compared to the noise of the signal.
From the unit sampling time the ADEV value of 5.36 0.07 V agrees with the SDEV
value taken over the data of 5.33V.

10
Figure 4(c): Two Allan deviation plots for data taken as for Figure 4(a) but with
increasing drift present. The lines marked have slope -0.5. For measurement times
above about 100 s the drift type variations become comparable to or greater than the
noise components though still somewhat below the overall noise content. For both
data sets the SDEV value is above the ADEV value because of the drift (5.33 V vs.
5.26 V and 5.64 V vs. 5.24 V), with the differences removable to less than the
ADEV measurement uncertainty by ad hoc stripping out of cubic drift functions. (Also
Figure 4(d) below)

11
 smoothed data V
-5
2x10

Data set Figures 4(a), 4(b)

-5 Data set Figure 4(c) upper
1x10 Data set Figure 4(c) lower

-5
-1x10

-5
-2x10

-5
-3x10
0 1000 2000 3000 4000 5000
data sample

Figure 4(d): Underlying drift behaviour of the data sets for Figures 4(b) and 4(c) as
shown by heavy smoothing of the data.

2. Thermocouple noise

Thermocouple measured temperature C

18.5

18.4

18.3

18.2

18.1

18.0
0 1000 2000 3000 4000
Measurement time s

Figure 5(a): Measurement data from a temperature monitoring thermocouple.

12
Figure 5(b): Allan deviation plot for thermocouple data of Figure 5(a) showing the
slope 0 region with a flicker (1/f) contribution of ~10 mK for measurement times
below 100 s and the longer period instrumentation drift of the slope 1 region. The
roll-off of the Allan deviation below 10 s is the convolution of the thermocouple signal
averaging response with the effective filter response of the 1 s sampling analysis. The
linear drift across the data is 98.3 Ks-1 and from the ADEV plot is 99.0 Ks-1.

3. Radiometer noise

Figures 6 – 9: The following data sets are from microwave radiometer systems where
the measurement signal has been low pass filtered in the analog domain and then
numerically processed. The analog filtering is close to Bessel second order and the
numerical processing then provides near matched Hamming filtering to give overall a
near fourth-order response (Figure 6(b)). Since the processed signal data is used
directly to generate the Allan deviation plots, that is the Allan plot sampling period is
the same as that for the processing sampling, the form of the resultant noise spectrum
will strongly influence the short averaging time end of the plots (9, 12). The relatively
low order of the pre-ADC filtering, whilst of little consequence for measurement
performance, will, through the generation of the aliasing signal component, slightly
enhance the high-frequency content of the analysed signal.

13
Figure 6(a): Low drift microwave temperature data sampled at 0.5 s intervals from a
radiometer with the measurement response of Figure 6(b).

post-detection response frequency Hz

0 0.2 0.4 0.6 0.8
1.2

1.0

0.8

0.6

0.4

transient response
0.2 frequency response
fourth order response

0
0 5 10 15
time s

Figure 6(b): Step-signal transient response and corresponding low-pass frequency

response of the microwave radiometers determining the high-frequency end of the
noise spectrum of the measured radiometer signal.

14
Figure 6(c): Allan deviation plot derived from the measurement data of Figure 6(a).
The line slope is -0.5 corresponding to uniform spectral density white noise. The roll-
off of the ADEV value below 8 s is the convolution of the 3.3 s post-detection low-pass
response with the effective filter response of the 0.5 s sampling analysis.

Figure 7(a): Microwave radiometric temperature data as for Figure 6(a) but with the
source allowed to drift. The mean rate of drift over the whole measurement time is
106.5 Ks-1.

15
Figure 7(b): Allan deviation plot derived from the data of Figure 7(a) showing
the slope  1 long time-constant drift component of ~106 Ks-1.

Figure 8(a): Section of microwave radiometric temperature data, as for Figure

6(a) but with a significant quasi-random-walk component present.

16
Figure 8(b): Allan deviation plot of the full data of Figure 8(a) showing a region of
slope 0.5 above 100 s averaging period produced by the quasi-random-walk
components in the data.

Allan deviation to standard deviation ratio

1

0.5

RU6A radiometer
0.2 RU5B radiometer
2nd order
4th order
step cut-off

0.1
0.1 1 10
Normalised Allan deviation averaging time

Figure 9: Microwave radiometer measured Allan deviation to standard deviation

ratio (ADEV/SDEV) compared with behaviour expected for unit-frequency sharp
cut-off response, a fourth-order response close to the overall radiometer response,
and the second order response of the radiometer pre-ADC analog signal filter.

17
Conclusions

Allan deviation analysis can identify and provide excellent differentiation between
regions of Gaussian noise, flicker noise and drift in microwave radiometric
temperature and similar measurements. For comparisons with Gaussian noise values
expressed in terms of the standard deviation, or for comparisons between instruments,
the spectrum of the analysed noise signal should be known and the Allan deviation
corrected for the convolution of the spectrum with the response of the analysis
process. With this factor the Allan deviation provides an easily obtained and
universally applicable measure of the Gaussian noise component of a signal which
avoids the difficulty of determining the proper standard deviation measure in the
presence of flicker noise, random-walk variations or drift. The Allan deviation plot
shows clearly the relative importance of noise and drift in measurement data and the
time regions over which particular variations are dominant, allowing optimisation of
measurement systems and measurement procedures.

References
Allan D W 1966 Statistics of atomic frequency standards Proc. IEEE 54 221-230

Allan D W 1987 Should classical variance be used as a basic measure in standards

metrology? IEEE Trans. IM-36 646-654

Barnes J A, Chi A R, Cutler L S, Healey D J, Leeson D B, McGunigal T E, Mullen J

A, Smith W L, Sydnor R L, Vessot R F C and Winkler G M R 1971 Characterization of
frequency stability IEEE Trans. IM-20 105-120

Britcliffe M, Hoppe D and Franco M 2012 A low-cost water vapour radiometer for
Deep Space Network media calibration IPN Progress Report 42-188 Jet Propulsion
Laboratory

Cerwinski F, Richardson A C and Oddershede L B 2009 Opt. Express 17 13255-13269

Greenhall C A 1981 Removal of drift from frequency stability measurements Jet

Propulsion Laboratory Telecommunications and Data Acquisition Progress Report
42-65 127-132

Helisto P and Heikki S 2001 Measurement uncertainty in the presence of low-

frequency noise IEEE Trans. IM-50 453-456

18
Huntley L 1988 An investigation into the role of the Allan Variance in establishing a
reference standard of voltage Precision Electromagnetic Measurements CPEM 88
Digest 15-16

Land D V, Levick A P and Hand J W 2007 The use of the Allan deviation for the
measurement of the noise and drift performance of microwave radiometers Meas. Sci.
Tech. 18 1917-1928

Lesage P and Audoin C 1973 Characterization of frequency stability: Uncertainty due

to finite number of measurements IEEE Trans. IM-22 157-161

Levine J 1999 Introduction to time and frequency metrology Rev. Sci. Instrum. 70
2567-95

Makdissi A 2003 AlaVar 5.2 http://www.alamath.com/index.html

NIST 2006 http://www.itl.nist.gov/div898/software/dataplot/

Park B K, Kim J H and Kim K C 1991 Performance evaluation of an X-band RF

switching radiometer IEEE Trans. IM-40 483-485

Panter P F 1965 Modulation, Noise and Spectral Analysis (New York: McGraw-Hill)
Ch.4

Rutman J 1974 Characterization of frequency stability: A transfer function approach

and its application to measurements via filtering of phase noise IEEE Trans. IM-23
40-48

Schwartz M 1970 Information Transmission, Modulation and Noise (New York:

McGraw-Hill) Ch. 5

Thomson F, Asmar S and Oudrhiri K 2005 Limitations on the use of the power-law

form of S y  f  to compute Allan variance IEEE Trans. UFFC-52 1468-1472

Witt T J and Reymann D 2000 Using power spectra and Allan variances to
characterise the noise of Zener-diode voltage standards IEEProc. Sci. Meas. Technol.
147 177-182

Witt T J 2005 Allan variances and spectral densities for DC voltage measurements
with polarity reversals IEEE Trans. IM-54 550-553

19