[gmx-users] What is the autocorrelation time
chris.neale at mail.utoronto.ca
Wed May 16 23:39:12 CEST 2012
Thank you Stephane.
Unfortunately, neither of those links contains the information that I am seeking. Those links contain some example plots of autocorrelation functions including a discussion of time-spans over which the example time-series is autocorrelated and when it is not, but neither link defines the (exponential or integral) autocorrelation time except to show a plot and indicate when it is non-zero and when it fluctuates about zero.
For example, I already know that the autocorrelation time describes the exponential decay of the correlation and that two values drawn from the same simulation are statistically independent if they are separated by a sufficient number of (accurate) autocorrelation times, but this information is not exactly a definition of the autocorrelation time.
I am hoping to find a definition of the autocorrelation time in terms of the probability of drawing uncorrelated samples, although any complete definition will do.
If anybody else has the time, I would appreciate it.
-- original message --
Probably these links give you simple and clear response for your question http://idlastro.gsfc.nasa.gov/idl_html_help/Time-Series_Analysis.html and http://www.statsoft.com/textbook/time-series-analysis/ HTH Stephane
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