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<span class="sd"> Notes</span> <span class="sd"> Notes</span>
<span class="sd"> -----</span> <span class="sd"> -----</span>
<span class="sd"> The covariance is estimated by calculating the correlation matrix assuming no autocorrelation and then rescaling the correlation matrix by the full errors including the previous gamma method estimate for the autocorrelation of the observables. The covariance at windowsize 0 is guaranteed to be positive semi-definite</span> <span class="sd"> The covariance is estimated by calculating the correlation matrix assuming no autocorrelation and then rescaling the correlation matrix by the full errors including the previous gamma method estimate for the autocorrelation of the observables. The covariance at windowsize 0 is guaranteed to be positive semi-definite</span>
<span class="sd"> $$v_i\Gamma_{ij}(0)v_j=\frac{1}{N}\sum_{s=1}^N\sum_{i,j}v_i\delta_i^s\delta_j^s v_j=\frac{1}{N}\sum_{s=1}^N\sum_{i}|v_i\delta_i^s|^2\geq 0\,,$$ for every $v_i\in\mathbb{R}^N$, while such an identity does not hold for larger windows/lags.</span> <span class="sd"> $$v_i\Gamma_{ij}(0)v_j=\frac{1}{N}\sum_{s=1}^N\sum_{i,j}v_i\delta_i^s\delta_j^s v_j=\frac{1}{N}\sum_{s=1}^N\sum_{i}|v_i\delta_i^s|^2\geq 0\,,$$ for every $v\in\mathbb{R}^M$, while such an identity does not hold for larger windows/lags.</span>
<span class="sd"> For observables defined on a single ensemble our approximation is equivalent to assuming that the integrated autocorrelation time of an off-diagonal element is equal to the geometric mean of the integrated autocorrelation times of the corresponding diagonal elements.</span> <span class="sd"> For observables defined on a single ensemble our approximation is equivalent to assuming that the integrated autocorrelation time of an off-diagonal element is equal to the geometric mean of the integrated autocorrelation times of the corresponding diagonal elements.</span>
<span class="sd"> $$\tau_{\mathrm{int}, ij}=\sqrt{\tau_{\mathrm{int}, i}\times \tau_{\mathrm{int}, j}}$$</span> <span class="sd"> $$\tau_{\mathrm{int}, ij}=\sqrt{\tau_{\mathrm{int}, i}\times \tau_{\mathrm{int}, j}}$$</span>
<span class="sd"> This construction ensures that the estimated covariance matrix is positive semi-definite (up to numerical rounding errors).</span> <span class="sd"> This construction ensures that the estimated covariance matrix is positive semi-definite (up to numerical rounding errors).</span>
@ -4865,7 +4865,7 @@ Currently only works if ensembles are identical (this is not strictly necessary)
<span class="sd"> Notes</span> <span class="sd"> Notes</span>
<span class="sd"> -----</span> <span class="sd"> -----</span>
<span class="sd"> The covariance is estimated by calculating the correlation matrix assuming no autocorrelation and then rescaling the correlation matrix by the full errors including the previous gamma method estimate for the autocorrelation of the observables. The covariance at windowsize 0 is guaranteed to be positive semi-definite</span> <span class="sd"> The covariance is estimated by calculating the correlation matrix assuming no autocorrelation and then rescaling the correlation matrix by the full errors including the previous gamma method estimate for the autocorrelation of the observables. The covariance at windowsize 0 is guaranteed to be positive semi-definite</span>
<span class="sd"> $$v_i\Gamma_{ij}(0)v_j=\frac{1}{N}\sum_{s=1}^N\sum_{i,j}v_i\delta_i^s\delta_j^s v_j=\frac{1}{N}\sum_{s=1}^N\sum_{i}|v_i\delta_i^s|^2\geq 0\,,$$ for every $v_i\in\mathbb{R}^N$, while such an identity does not hold for larger windows/lags.</span> <span class="sd"> $$v_i\Gamma_{ij}(0)v_j=\frac{1}{N}\sum_{s=1}^N\sum_{i,j}v_i\delta_i^s\delta_j^s v_j=\frac{1}{N}\sum_{s=1}^N\sum_{i}|v_i\delta_i^s|^2\geq 0\,,$$ for every $v\in\mathbb{R}^M$, while such an identity does not hold for larger windows/lags.</span>
<span class="sd"> For observables defined on a single ensemble our approximation is equivalent to assuming that the integrated autocorrelation time of an off-diagonal element is equal to the geometric mean of the integrated autocorrelation times of the corresponding diagonal elements.</span> <span class="sd"> For observables defined on a single ensemble our approximation is equivalent to assuming that the integrated autocorrelation time of an off-diagonal element is equal to the geometric mean of the integrated autocorrelation times of the corresponding diagonal elements.</span>
<span class="sd"> $$\tau_{\mathrm{int}, ij}=\sqrt{\tau_{\mathrm{int}, i}\times \tau_{\mathrm{int}, j}}$$</span> <span class="sd"> $$\tau_{\mathrm{int}, ij}=\sqrt{\tau_{\mathrm{int}, i}\times \tau_{\mathrm{int}, j}}$$</span>
<span class="sd"> This construction ensures that the estimated covariance matrix is positive semi-definite (up to numerical rounding errors).</span> <span class="sd"> This construction ensures that the estimated covariance matrix is positive semi-definite (up to numerical rounding errors).</span>
@ -4924,7 +4924,7 @@ If True the correlation instead of the covariance is returned (default False).</
<h6 id="notes">Notes</h6> <h6 id="notes">Notes</h6>
<p>The covariance is estimated by calculating the correlation matrix assuming no autocorrelation and then rescaling the correlation matrix by the full errors including the previous gamma method estimate for the autocorrelation of the observables. The covariance at windowsize 0 is guaranteed to be positive semi-definite <p>The covariance is estimated by calculating the correlation matrix assuming no autocorrelation and then rescaling the correlation matrix by the full errors including the previous gamma method estimate for the autocorrelation of the observables. The covariance at windowsize 0 is guaranteed to be positive semi-definite
$$v_i\Gamma_{ij}(0)v_j=\frac{1}{N}\sum_{s=1}^N\sum_{i,j}v_i\delta_i^s\delta_j^s v_j=\frac{1}{N}\sum_{s=1}^N\sum_{i}|v_i\delta_i^s|^2\geq 0\,,$$ for every $v_i\in\mathbb{R}^N$, while such an identity does not hold for larger windows/lags. $$v_i\Gamma_{ij}(0)v_j=\frac{1}{N}\sum_{s=1}^N\sum_{i,j}v_i\delta_i^s\delta_j^s v_j=\frac{1}{N}\sum_{s=1}^N\sum_{i}|v_i\delta_i^s|^2\geq 0\,,$$ for every $v\in\mathbb{R}^M$, while such an identity does not hold for larger windows/lags.
For observables defined on a single ensemble our approximation is equivalent to assuming that the integrated autocorrelation time of an off-diagonal element is equal to the geometric mean of the integrated autocorrelation times of the corresponding diagonal elements. For observables defined on a single ensemble our approximation is equivalent to assuming that the integrated autocorrelation time of an off-diagonal element is equal to the geometric mean of the integrated autocorrelation times of the corresponding diagonal elements.
$$\tau_{\mathrm{int}, ij}=\sqrt{\tau_{\mathrm{int}, i}\times \tau_{\mathrm{int}, j}}$$ $$\tau_{\mathrm{int}, ij}=\sqrt{\tau_{\mathrm{int}, i}\times \tau_{\mathrm{int}, j}}$$
This construction ensures that the estimated covariance matrix is positive semi-definite (up to numerical rounding errors).</p> This construction ensures that the estimated covariance matrix is positive semi-definite (up to numerical rounding errors).</p>

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