We obtain the characteristic correlation time associated with a model stochastic differential equation that includes the normal form of a pitchfork bifurcation and delayed feedback. In particular, the validity of the common assumption of statistical independence between the state at time and that at , where is the delay time, is examined. We find that the correlation time diverges at the model’s bifurcation line, thus signaling a sharp bifurcation threshold, and the failure of statistical independence near threshold. We determine the correlation time both by numerical integration of the governing equation, and analytically in the limit of small . The correlation time diverges as , where is the control parameter so that is the bifurcation threshold. The small- expansion correctly predicts the location of the bifurcation threshold, but there are systematic deviations in the magnitude of the correlation time.