Article ID Journal Published Year Pages File Type
974721 Physica A: Statistical Mechanics and its Applications 2009 10 Pages PDF
Abstract

The estimation of the correlation between time series is often hampered by the asynchronicity of the signals. Cumulating data within a time window suppresses this source of noise but weakens the statistics. We present a method to estimate correlations without applying long time windows. We decompose the correlations of data cumulated over a long window using decay of lagged correlations as calculated from short window data. This increases the accuracy of the estimated correlation significantly and decreases the necessary effort of calculations both in real and computer experiments.

Related Topics
Physical Sciences and Engineering Mathematics Mathematical Physics
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