# Tagged Questions

Autocorrelation is the correlation of a series of data with itself at some lag. This is an important topic particularly in the analysis of time-series data.

480 views

### How to exploit periodicity to reduce noise of a signal?

100 periods have been collected from a 3 dimensional periodic signal. The wavelength slightly varies. The noise of the wavelength follows Gaussian distribution with zero mean. A good estimate of the ...
2k views

### How can I calculate the autocorrelation of a signal in Mathematica environment?

I tried CorrelationFunction[Transpose[{data,data}]][[All,1,2]] but it doesn't work! I mean the results are identical with those if I run ...
286 views

### How can I compute regression for several longitudinal data sets (thus, with auto-correlated error)?

My actual project is a bit complicated, but I'll explain by analogy (which I hope facilitates response): I have 3 substances, say water, motor oil, and ethanol. For each substance, I have 5 samples ...
387 views

### Methods for evaluating partial autocorrelation for identification of ARIMA models

I am trying to programmatically identify an ARIMA model for a series of data and forecast values. Currently the problem i am facing is to find a way to evaluate partial autocorrelation. I have been ...
273 views

### Estimating noise correlation in augmented state vector Kalman filter

How do I estimate the noise correlation matrix (psi function) in the augmented state approach of Kalman filter? Can I do something like this: \text{noise}_2 = \psi \cdot ...
945 views

### Time series regression with overlapping data

I am seeing a regression model which is regressing Year-on-Year stock index returns on lagged (12 months) Year-on-Year returns of the same stock index, credit spread (difference between monthly mean ...
454 views

### What is the power of the Ljung-Box Test for auto-correlation?

How large sample size should be for Ljung-Box statistic to achieve a power $\ge 0.5$ when number of lags tested is 1? How does the power fall ( assuming an AR(1) process), with increasing number of ...
1k views

### Calculate Cross Correlation of two matrices of the 'Values Vs. Time' representation

I have 2 acceleration vectors, each represented by a matrix with its first column corresponding to the magnitude of acceleration and second column corresponding to the time (in ms) They both represent ...
1k views

### How to model zero inflated, over dispersed poisson time series?

I am trying to model weekly disease counts in 25 different regions within 1 country over a ten year period as influenced by temperature. The data is zero inflated and over dispersed. I am most ...
991 views

### Two sample t-test for data (maybe time series) with autocorrelation?

I am new to statistics, so pardon any mistakes in my question. I have two time series $X_i$ and $Y_i$. Assuming that they're stationary AR(1) processes with possibly different means, how do I test ...
388 views

### Predicting long-memory processes

I'm working with a two-state process with $x_t$ in $\{1, -1\}$ for $t = 1, 2, \ldots$ The autocorrelation function is indicative of a process with long-memory, i.e. it displays a power law decay with ...
546 views

### Choice of weight function in Moran's I

I'm doing an autocorrelation analysis for a spatially distributed collection of observations. To perform my analysis, I am using Moran's I statistic. My questions are: (1) What are the implications ...
2k views

### Simple linear model with autocorrelated errors in R

How do I fit a linear model with autocorrelated errors in R? In stata I would use the prais command, but I can't find an R equivalent...
3k views

### Calculate Newey-West standard errors without an lm object in R

I asked this question yesterday on StackOverflow, and got an answer, but we agreed that it seems a bit hackish and there may be a better way to look at it. The question: I would like calculate the ...
326 views

### Wavelet auto correlation

I have a time serie that I want to analyse through a wavelet decomposition. I am using the R package WaveThres. I am interested in the wavelet autocorrelation, but I struggle to understand what ...
1k views

### Using autocorrelation to find commonly occurring signal fragments

I have a sensor which is capturing accelerometer data as a person walks. What I'm interested in extracting is each signal fragment when a step is taken. The Z-axis is what is used since only one axis ...
426 views

### Analyze and generate “clumpy” distributions?

Are there standard ways of analyzing and generating "clumpy" distributions? analyze: how clumpy is a given point cloud (in 1d, 2d, nd), what are its clumpy coefficients? generate or synthesize a ...
127 views

### Two years of data describing occurence of violence- testing association with number of patients on ward

I have two years of data which looks basically like this: Date ___ Violence Y/N? _ Number of patients 1/1/2008 ____ 0 __________ 11 2/1/2008 ____ 0 _________ 11 3/1/2008 _____1 ...
2k views

### How can the IID assumption be checked in a given dataset?

1- How can I check if a set of data can be assumed as IID data? I'm not so familiar with statistics, but I guess I should look at the first lag of autocorrelation for independent distribution. Have no ...