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Autocorrelation time

  1. May 22, 2009 #1
    Hi everybody, please someone can explain me what is the autocorrelation time and how it is linked to coviarance?

    thank you!
  2. jcsd
  3. May 22, 2009 #2

    Andy Resnick

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    In signal processing, the autocorrelation time can mean the time it takes for a signal to 'lose it's memory'. For example, plotting the position of a diffusing particle over time and autocorrelating the signal gives a short-time scale where the position is non-random as compared to previous positions, and a longer time scale where the current position is not correlated with earlier positions. Autocorrelation is used a lot in light scattering experiments as well- it gives a scale for the dynamics of the system. Also in optical processing techniques such pattern recognition.

    Covariance is a more general way of discussing the coherence properties of *two* signals, but probably reduces to the autocorrelation when the signals are from the same source.
  4. May 22, 2009 #3


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    Covariance is the correlation of the deviation from the mean.

    It is the same as the correlation if the mean(s) of the analyzed signal(s) is/are zero.
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