The correlation coefficientρ, expressed as an autocorrelation function or cross-correlation function, depends on the lag-time between the times being considered. Typically such functions, ρ(t), decay to zero with increasing lag-time, but they can assume values across all levels of correlations: strong and weak, and positive and negative as in the table.
The life-time of a correlation is defined as the length of time when the correlation coefficient is at the strong level.[1] The durability of correlation is determined by signal (the strong level of correlation is separated from weak and negative levels). The mean life-time of correlation could measure how the durability of correlation depends on the window width size (the window is the length of time series used to calculate correlation).
Referencesedit
^Buda, Andrzej; Jarynowski, Andrzej (2010) Life-time of correlations and its applications vol.1, p.9, [Głogów] : Wydawnictwo Niezależne
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life, time, correlation, this, article, multiple, issues, please, help, improve, discuss, these, issues, talk, page, learn, when, remove, these, template, messages, topic, this, article, meet, wikipedia, general, notability, guideline, please, help, demonstrat. This article has multiple issues Please help improve it or discuss these issues on the talk page Learn how and when to remove these template messages The topic of this article may not meet Wikipedia s general notability guideline Please help to demonstrate the notability of the topic by citing reliable secondary sources that are independent of the topic and provide significant coverage of it beyond a mere trivial mention If notability cannot be shown the article is likely to be merged redirected or deleted Find sources Life time of correlation news newspapers books scholar JSTOR September 2011 Learn how and when to remove this template message This article may require cleanup to meet Wikipedia s quality standards No cleanup reason has been specified Please help improve this article if you can June 2011 Learn how and when to remove this template message Learn how and when to remove this template message In probability theory and related fields the life time of correlation measures the timespan over which there is appreciable autocorrelation or cross correlation in stochastic processes Definition editCorrelation Negative PositiveWeak 0 5 to 0 0 0 0 to 0 5Strong 1 0 to 0 5 0 5 to 1 0The correlation coefficient r expressed as an autocorrelation function or cross correlation function depends on the lag time between the times being considered Typically such functions r t decay to zero with increasing lag time but they can assume values across all levels of correlations strong and weak and positive and negative as in the table The life time of a correlation is defined as the length of time when the correlation coefficient is at the strong level 1 The durability of correlation is determined by signal the strong level of correlation is separated from weak and negative levels The mean life time of correlation could measure how the durability of correlation depends on the window width size the window is the length of time series used to calculate correlation References edit Buda Andrzej Jarynowski Andrzej 2010 Life time of correlations and its applications vol 1 p 9 Glogow Wydawnictwo Niezalezne nbsp This probability related article is a stub You can help Wikipedia by expanding it vte nbsp This statistics related article is a stub You can help Wikipedia by expanding it vte Retrieved from https en wikipedia org w index php title Life time of correlation amp oldid 1065482385, wikipedia, wiki, book, books, library,
