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Life-time of correlation
The life-time of correlation measures the timespan over which there is appreciable autocorrelation or cross correlation in stochastic processes.
==Definition==
The correlation coefficient ''ρ'', 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.〔Buda, Andrzej; Jarynowski, Andrzej (2010) ''Life-time of correlations and its applications vol.1'', p.9, () : Wydawnictwo Niezależne〕 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).
抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』
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