[gmx-users] What is the autocorrelation time

Erik Marklund erikm at xray.bmc.uu.se
Thu May 17 11:06:57 CEST 2012

16 maj 2012 kl. 23.39 skrev Christopher Neale:

> 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.

Aren't you looking for an interpretation rather than a definition? And will this not depend on the nature of the data?



> If anybody else has the time, I would appreciate it.
> Thank you,
> Chris.
> -- 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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Erik Marklund, PhD
Dept. of Cell and Molecular Biology, Uppsala University.
Husargatan 3, Box 596,    75124 Uppsala, Sweden
phone:    +46 18 471 6688        fax: +46 18 511 755
erikm at xray.bmc.uu.se

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