ESS210B
Prof. Jin-Yi Yu
Degree of
Freedom
qThe typical autocorrelation function tells us that data points in a
time series are not
independent from each other.
è The degree of freedom is less than
the number of data points (N).
qCan we estimate the degree of freedom from the autocorrelation function?
qFor a time series of red noise, it has been suggested that the degree
of freedom can be
determined as following:
N* = N Dt / (2Te).
Here Te is the e-folding decay time of
autocorrelation (where autocorrelation drops to 1/e). Dt is the time interval between data.
qThe number of degrees is only half of the number of e-folding times of the data.