A general theoretical background is introduced for characterization of conformational motions in protein molecules, and for building reduced coarse-grained models of proteins, based on the statistical analysis of their phase trajectories. Using the projection operator technique, a system of coupled generalized Langevin equations is derived for essential collective coordinates, which are generated by principal component analysis of molecular dynamic trajectories. The number of essential degrees of freedom is not limited in the theory. An explicit analytic relation is established between the generalized Langevin equation for essential collective coordinates and that for the all-atom phase trajectory projected onto the subspace of essential collective degrees of freedom. The theory introduced is applied to identify correlated dynamic domains in a macromolecule and to construct coarse-grained models representing the conformational motions in a protein through a few interacting domains embedded in a dissipative medium. A rigorous theoretical background is provided for identification of dynamic correlated domains in a macromolecule. Examples of domain identification in protein G are given and employed to interpret NMR experiments. Challenges and potential outcomes of the theory are discussed.