Auto-correlation function

The auto-correlation function measures the correlation of a signal x(t) with itself shifted by some time delay :

The auto-correlation function can be used to detect repeats or periodicity in a signal. Here, we use the auto-correlation to assess the effect of fluctuations (noise) on a periodic signal.

Use of the auto-correlation function to quantify the effect of noise on a periodic signal
auto-correlation

In absence of noise, the auto-correlation function oscillates with a constant amplitude and a maximum of 1. The period of the auto-correlation correspond to the period of the signal. In presence of noise, the envelop of the auto-correlation function decreases exponentially. More important is the noise, faster is this decreasing. This phenomenon is also called "phase diffusion"

Use of the auto-correlation function to quantify the effect of noise on a periodic signal
half-life of the auto-correlation

half-life = 8

In absence of noise, the auto-correlation function oscillates with a constant amplitude and a maximum of 1. The period of the auto-correlation correspond to the period of the signal. In presence of noise, the envelop of the auto-correlation function decreases exponentially. More important is the noise, faster is this decreasing. Thus the speed (half-life) of the decreasing can be used to quantify the effect of noise.

Use of the auto-correlation function to quantify the effect of noise on a periodic signal: application to the Brusselator
Deterministic
The autocorrelation oscillates periodically

Stochastic (low noise)

The envelop of auto-correlation decreased "slowly"

Stochastic (large noise)

The envelop of auto-correlation decreased rapidely.

Use of the auto-correlation function to quantify the effect of noise on a periodic signal: application to the Brusselator
The half-life of the auto-correlation was shown to increase linearly with the system size () as long as the noise is not too important (i.e. for large ).

less molecules (more noise)

more molecules (less noise)

Gaspard P (2002) The correlation time of mesoscopic chemical clocks. J. Chem. Phys.117: 8905-8916.