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Results tagged with autocorrelation
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user 109372
Autocorrelation (serial correlation) is the correlation of a series of data with itself at some lag. This is an important topic in time series analysis.
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Is this the correct computation of autocorrelation for lag=1? [duplicate]
Now we can calculate the autocorrelation for lag 1:
$$\text{ACF}(1) = \frac{\text{Numerator Sum}}{n \times \text{Var}(X)} = \frac{4}{10} = 0.4$$
Thus, the autocorrelation at lag 1 for the series {1,2,3,4,5 … Is this the correct computation of autocorrelation with for lag=1? …
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How can I compute the longest relaxation time?
In the case of Monte Carlo simulations:
Autocorrelation Time ($\tau_{\text{int}}$): A measure of how many steps are needed for the correlations in the chain to become small; it affects the variance of … I realize that autocorrelation time is the sum of autocorrelation values over a given maximum lag time. …
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How can I determine if a system is equilibrated?
")
first_half = first_half[shave_size:]
second_half = second_half[shave_size:]
if corr1 == 1.0:
break
return returns
The function iteratively compares the autocorrelation … The drawback of this algorithm is that it uses autocorrelation computation, which takes a lot of time, irrespective of the programming language used.
Can you propose any alternative technique? …
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Autocorrelation in the vector case
The computed autocorrelation values are then filtered based on the specified thresholds (thresholdMin and thresholdMax). … The autocorrelation formula used in the case of $r^2_{end-to-end}$ is working fine and giving plots as expected. …
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Reference for autocorrelation formula for vectors
This post on Stack Overflow says that the autocorrelation, or self correlation, of vectors is defined as
$$C(t, \{v\}_n) = \frac {1}{n-t}\sum_{i=0}^{n-1-t}\vec v_i\cdot\vec v_{i+t}$$
What is the source …
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