Accurate estimator of correlations between asynchronous signals

Bence Tóth*, János Kertész

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

Abstract (may include machine translation)

The estimation of the correlation between time series is often hampered by the asynchronicity of the signals. Cumulating data within a time window suppresses this source of noise but weakens the statistics. We present a method to estimate correlations without applying long time windows. We decompose the correlations of data cumulated over a long window using decay of lagged correlations as calculated from short window data. This increases the accuracy of the estimated correlation significantly and decreases the necessary effort of calculations both in real and computer experiments.

Original languageEnglish
Pages (from-to)1696-1705
Number of pages10
JournalPhysica A: Statistical Mechanics and its Applications
Volume388
Issue number8
DOIs
StatePublished - 15 Apr 2009
Externally publishedYes

Keywords

  • Asynchronous signals
  • Correlation estimation

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