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| q |
The typical autocorrelation function tells us that data
points in a time
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series are not independent from each other.
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è The degree of freedom is less than the number of data
points (N).
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Can we estimate the degree of freedom from the autocorrelation
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function?
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For a time series of red noise, it has been suggested
that the degree of
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freedom can be determined as following:
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N* = N Dt / (2Te).
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Here Te is
the e-folding decay time of autocorrelation (where
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autocorrelation drops to 1/e). Dt is the
time interval between data.
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| q |
The number of degrees is only half of the number of e-folding
times of
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the data.
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