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Math Help - Using auto-correlation to subsample

  1. #1
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    Using auto-correlation to subsample

    Hello,

    I would like to use the auto-correlation plots of my data for subsampling. For example, if you look at the photo attached, the data seems to no longer be correlated at lag#9. Since each lag is 28 minutes, this means I should be able to subsample every 4 hours and 12 minutes to get an independent data set. However, the plot shows that the data becomes correlated again at lag#22.

    My question is: is it appropriate to subsample every 4 hours and 12 minutes? Or is it only appropriate to subsample according to the last correlated lag (eg. lag#146 = 2 days, 20 hours and 8 minutes)?

    Thank you!
    Attached Thumbnails Attached Thumbnails Using auto-correlation to subsample-oct_2011.jpeg  
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  2. #2
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    Re: Using auto-correlation to subsample

    Hey cetacean.

    Can you outline what you are trying to do in plain non-statistical terms?
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  3. #3
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    Re: Using auto-correlation to subsample

    Sure. My data is temporally correlated, and since most statistical analyses require the data to be independent, I want to get rid of that correlation. Therefore, I have ran auto-correlation functions which tell me how much time must be between data points for them to no longer influence each other. For example, if I ran an auto-correlation function that said there was no correlation after 10 minutes, I would subsample my dataset every 10 minutes. However, if the auto-correlation function showed non-significance at 10 minutes, but then a significant correlation again at 20 minutes, then I'm not sure if it's appropriate to use the 10 minute mark or the last point at which it's correlated.

    I hope that is more clear.
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  4. #4
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    Re: Using auto-correlation to subsample

    Can you use some kind Principal Component Analysis for longitudinal data? (Basically you get a set of un-correlated random variables when you do PCA).
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  5. #5
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    Re: Using auto-correlation to subsample

    I'm not sure. I've done PCA to determine the main relationships out of a set of variables, but are you thinking time would act as a set of variables?
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  6. #6
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    Re: Using auto-correlation to subsample

    Basically I'm suggesting you do it with regard to time.
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