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, 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. The durability of correlation is determined by signal. The mean life-time of correlation could measure how the durability of correlation depends on the window width size.
