+ Site Statistics
+ Search Articles
+ PDF Full Text Service
How our service works
Request PDF Full Text
+ Follow Us
Follow on Facebook
Follow on Twitter
Follow on LinkedIn
+ Subscribe to Site Feeds
Most Shared
PDF Full Text
+ Translate
+ Recently Requested

A general statistical test for correlations in a finite-length time series



A general statistical test for correlations in a finite-length time series



Journal of Chemical Physics 128(21): 214101



The statistical properties of the autocorrelation function from a time series composed of independently and identically distributed stochastic variables has been studied. Analytical expressions for the autocorrelation function's variance have been derived. It has been found that two common ways of calculating the autocorrelation, moving-average and Fourier transform, exhibit different uncertainty characteristics. For periodic time series, the Fourier transform method is preferred because it gives smaller uncertainties that are uniform through all time lags. Based on these analytical results, a statistically robust method has been proposed to test the existence of correlations in a time series. The statistical test is verified by computer simulations and an application to single-molecule fluorescence spectroscopy is discussed.

Please choose payment method:






(PDF emailed within 0-6 h: $19.90)

Accession: 051139179

Download citation: RISBibTeXText

PMID: 18537409

DOI: 10.1063/1.2931943


Related references

Permutation entropy of finite-length white-noise time series. Physical Review. E 94(2-1): 022118, 2016

Extracting the scaling exponents of a self-affine, non-Gaussian process from a finite-length time series. Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics 74(5 Pt 1): 051122, 2007

High-resolution time-series analysis with an error-free wave-shaping filter of finite length. Physics of the Earth and Planetary Interiors 12(2-3): 0-236, 1976

Quantitative evaluation of cross correlation between two finite-length time series with applications to single-molecule FRET. Journal of Physical Chemistry. B 112(44): 13962-13970, 2008

Statistical test of the hypothesis that a time series is stationary. Geophysics 32(3): 499-511, 1967

Statistical algorithm to test the presence of correlation between time series with age/dating uncertainties. Eos, Transactions, American Geophysical Union 89.53, Suppl., 2008

Problems in the statistical analysis of biological time series the cosinor test and the periodogram. Journal of Interdisciplinary Cycle Research 4(1): 41-57, 1973

Minimax statistical models for air pollution time series. Application to ozone time series data measured in Bordeaux. Environmental Monitoring and Assessment 98(1-3): 275-294, 2004

Electrostatic correlations and fluctuations for ion binding to a finite length polyelectrolyte. Journal of Chemical Physics 122(4): 44903, 2005

The effect of electronic medical record application on the length of stay in a Chinese general hospital: a department- and disease-focused interrupted time-series study. Journal of Medical Systems 38(5): 53, 2015

Relationship between length of exposure time to a disinfecting agent and length of incubation time required for recovery of test organisms. Abstracts of the Annual Meeting of the American Society for Microbiology 88: 187, 1988

Finite temporal measurements of the statistical characteristics of the atmospheric coherence length. Applied Optics 37(21): 4541-4543, 2008

Indispensable finite time corrections for Fokker-Planck equations from time series data. Physical Review Letters 87(25): 254501, 2001

Statistical Parametric Mapping (SPM) for alpha-based statistical analyses of multi-muscle EMG time-series. Journal of Electromyography and Kinesiology 25(1): 14-19, 2015

Age Dependence of Thresholds for Speech in Noise in Normal-Hearing Adolescents. Trends in Hearing 21: 2331216517743641, 2017