An estimate of the Fractal Dimension which measures the probability that two points chosen at random will be within a certain distance of each other, and examines how this probability changes as the distance is increased. White noise will fill its space since its components are uncorrelated, and its correlation dimension is equal to whatever dimension it is placed in. A dependent system will be held together by its correlations and retain its dimension whatever embedding dimension it is placed in, as long as it is greater than its fractal dimension.
Nearby TermsCorrelation Correlation coefficient Correlation Dimension Correlation Integral Correspondent
Copyright © 2011 Campbell R. Harvey, Professor of Finance, Fuqua School of Business at Duke University