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Autocorrelations (and interpolation) may cause severe underestimation
of the dimension.
Theiler [Theiler, 1986] suggests to discard samples
that are close to the reference point up to the correlation time
(measured in samples).
This procedure seems to work even though it does not exclude all
correlations. So it may be useful when the time series is rather
short and decimation is unacceptable.
Smith [Smith, 1988] states that this
correction should not be used if one wishes to distinguish the
scaling of ``true'' noise from fluctuations due to finite for