A measure of correlation between different time series, at the same or different times.

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Excel function (or macro) for cross-correlation between dichotomous or binary (e.g., 1 or 0) variables?

I have an Excel spreadsheet with columns of different variables that are dichotomous or binary. These variables can take on values of either 1 or 0. I want to find cross-correlations between any two ...
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1answer
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How to do perform multipe regression of a lagged time series versus 3 other ts?

What steps should I make to perform multipe regression of a lagged time series versus 3 other non-lagged ts? The measurements of these series are taken every 5 milliseconds and I have about 70 000 ...
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Cross correlation of gaussian signals with its mean signal gives non-gaussian distributed scores

The following is my question: I have signals that contains noise, they are of the following form see the figure below.. Then I take the mean signal of all these signals (identical in length and ...
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9 views

Cross-correlation with Spearman's method

I am trying to calculate the cross-correlation between two time series. I know that ccf in R base can slove this problem and it uses Pearson's correlation method. My question is: How can I calculate ...
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13 views

Compare two distributions with varying focus on different regions

I have been trying to find if my problem matches has been discussed in prior research and if any technique exists to solve it. Here's the problem: Given two distributions (pdf) D1 and D2 over a ...
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How can the Cross-correlation of two time series be used to measure similarity between vectors

Because cross correlation methods (like numpy.correlate) typically return vectors, how can they be used to determine the similarity of two input vectors
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Cross correlation function in more than one dimension

The cross correlation function is $CCF(\tau) = \int f(t)g(t+\tau)dt$ My question: are there any extensions to higher dimensional spaces? For instance, assuming space dimension $x$ is orthogonal to ...
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Covariance between added harmonic timeseries

I am trying to construct a covariance matrix for an optimization between two added harmonic time series. In general, the basic equation looks like this: $Z(t)=Y(t)-X(t)$ When I break this down into ...
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15 views

Correlate incidence rate with number of cases

As title says, I want to see how well incidence rate (over a period of years) of a disease compares with number of cases of a certain procedure (over the same period of years) used to cure it. How ...
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1answer
56 views

Pearson correlation coefficient for lagged time series

I am trying to calculate lagged Pearson correlation coefficient between time series. I am not interested in calculating cross-correlation. I want to calculate Pearson correlation coefficient because I ...
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1answer
29 views

How do I interpret this cross correlation function (CCF) plot?

I am working on some exchange rates data. I have two series: $X_t$ with the official exchange rate (e.g. forex) $Y_t$ with the exchange rate on the "black market" (e.g. currency exchange houses at ...
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Distribution of two correlated multivariate normal distributions

Let $\varepsilon_{s}^{FR}$ follow a Gaussian Markov process so that ${\varepsilon_{s}^{FR} = \rho \varepsilon_{s-1}^{FR} + \xi_{s}^{FR}, \: \xi_{s}^{FR} \sim \mathrm{i.i.d.} \: ...
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Cross correlation analysis

I am correlating two different types of sensor outputs using cross correlation (xcorr in Matlab). After plotting the probability of correlation at varying lead or lag times, I want to define the ...
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19 views

SPSS Autocorrelation, Cross correlation, Mulitple Imputations [closed]

I'm wondering if someone can help? I want to combine multiple imputed data sets. Is there a way to determine the pooled autocorrelation coefficients and standard errors in data where there are 10 ...
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1answer
22 views

Deriving the single factor model

Consider the following regressions: $y_1 = \beta_1 \cdot x + \gamma_1 \cdot \epsilon_1 $ $y_2 = \beta_2 \cdot x + \gamma_2 \cdot \epsilon_2 $ With $\epsilon_1$, $\epsilon_2 \tilde{} N(0,1) $ as ...
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30 views

Which test statistic to use to test for cross-sectional dependence in panel data (R, plm)?

I would like to test for cross-sectionally dependent residuals in my panelmodel (pooled). I found pcdtest() in plm package and tried ...
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1answer
70 views

Cross-correlation of two autocorrelated signals (removing autocorrelation with ARIMA)

I want to get the cross-correlation of two time series x and y in R. I have calculated an ARIMA model, and I can get the ...
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calculating correlation that involves a variable calculated over a certain time period

My research is an education research. I administered a survey at time point 1 (TP1), 2 (TP2), and 3 (TP3). This is a likert-type survey, measures let's say Concept1 and Concept2. The sample size is ...
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89 views

Cross-correlation between two seasonal series

To determine cross-correlation between Sales and Variable cost, both having monthly seasonality, do I need to de-seasonalize ...
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29 views

How to quantify the relationship between Social Media Sentiment and Monthly Sales time series data

I'm doing a side project at school which is to understand if there are any causal relationship between social sentiment data and sales (either good/neutral/bad comments from facebook or tweeters will ...
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1answer
64 views

How to test if I can use cross-correlation?

I want to compare two time series in R and see if they are cross-correlated (with ccf). I believe that they have to be stationary? How that my data is stationary in R and are there any other ...
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1answer
25 views

Cross-correlation gives autocorrelation in R?

I am not very familiar with cross-correlation analysis. I am analysing a large number of "paired" time series. For each pair, I am doing a ccf in R. I read in other posts that the horizontal line ...
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81 views

Testing significance of cross-correlated series

I want to prove that, overall, signal B is correlated to signal A. I was thinking of using cross-correlation (in R) to measure this. Essentially I have two kinds of signals: signal A is a series of ...
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137 views

Cross Correlation and Prewhitening

I am using cross correlation to demonstrate a potential link between two time series (ext & co). Both series are strongly autocorrelated, so it is difficult to assess the dependence between the ...
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Cross correlation between 2 filtered time series

I have 2 band pass filtered time series for 30-90 day band I would like to understand the lagged correlation between these 2 series in this band. The issue is that autocorrelations exist in both ...
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44 views

Detrended Cross Correlation in R

I am looking at determining the relationship between two non-stationary time series, i.e. monthly cost and sales for a period of ...
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can fixed effects be controlled for in panel corrected standard errors(XTPCSE)

I am doing a panel data analysis. I have serial correlation and groupwise hetroskedasticity in my model and if I don't control for time effects (year effect) then I have contemporaneous correlation ...
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Correlation in Non-Stationary Economic Time Series Data in Excel

Which good tests (approx 3) can I run to show that two countries economic variables (eg inflation) are 'correlated' (ie move in same pattern) over time? The data is probably non-stationary, so as ...
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Specifying parameters in lmer package to compute ICC

I have a dataset as shown below ...
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Finding causality and cross correlation of multiple variables in time series

I'm new to time series. I have 24 variables in a monthly measured time series from 2009 to 2015. The time series measures how much production data that is registered in a ERP system and are ...
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48 views

Cross correlation and time series

I have two data. One is annual time series, another one is seasonal time series. Does the cross correlation change from season to season and for different lags?
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Two variables correlated to a third one but not together

Let's consider the following correlation matrix: $$\begin{pmatrix} 1 & 1 & 1 \\ 1 & 1 & 0 \\ 1 & 0 & 1 \end{pmatrix}$$ which describes the correlation between 3 random ...
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3answers
72 views

How to detect inversions in the behavior of two time series through an online algorithm?

I would like to know if there is any technique which is capable to detect online (i.e. considering a sliding window) if there is a correlation between two time series. In particular, I'm trying to ...
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171 views

cross-correlation matrix for time-series data in R

I have a time series data (in day format) of 5 places for 15 days stored as a matrix. The structure of data is ...
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Compare if a time series is more correlated to the time series in a group than to the time series in another group?

Given a time series $T_0$, group 1 of time series $T_{1,1},...,T_{1,n_1}$ group 2 of time series $T_{2,1},...,T_{2,n_2}$, ... group m of time series $T_{m,1},...,T_{m,n_m}$, what are some ways to ...
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Determining asynchronicity in event data

Imagine events occurring over time in 5 subjects. Each time a subject does something then you see a spike on their timeline. Each event is binary - it either occurs or it doesn't, there is no ...
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29 views

How do i combine several time series to create one lagged regression model?

I’m totally new to time series and desperately after some advice. For each of 100 topics I have the values of 2 variables X and Y for 50 consecutive days. I believe there is a lead/lag relationship ...
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1answer
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Correlation as a time series

I have been studying a few simple statistical models for (univariate) time series. From my understanding, ARIMA and its siblings are used to model the mean of a time series. Rather than a static ...
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64 views

Cross-validated cross-correlation

I am trying to build a regression model for the forecast of stock market returns. The regression takes about 100 variables as input and my training data consists of n=234 weekly data points. I am ...
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Multiple Cross-correlation

I'm trying to compare two sets of time series. I've successfully used cross-correlation to compare two series between them, but I'm not sure about the way to go for several series. Let me be more ...
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chicken egg problem

I should run a test to determine whether variable A affect variable B or viceversa. What type of test should I use? Imagine that we measure the time slept per night (A) and the activity performed ...
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1answer
63 views

Quantification of the extent of periodicity in a time series using fractal analyses

I need metrics to quantify the extent of periodicity between of a time series (for comparison with other time series), considering the time series is almost periodic. By almost periodic I mean: if I ...
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1answer
104 views

What type of analysis to choose for this data?

I am trying to create a model of refrigeration having the energy consumption and the temperature over time. So far, I've tried regression but fitting this data into linear model seems impossible. ...
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1answer
292 views

Spatial cross-correlation: What is the correlation statistic used by the correlog function?

I want to look at the spatial cross-correlation between 2 variables. I am currently using the function correlog from the package ...
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Correlation between Lomb-Scargle periodograms

I have a bunch of Lomb-Scargle periodograms (functionally Power Spectral Densities for non-uniformly, discretely sampled time data). I am interested in grouping them into subgroups that have similar ...
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3answers
134 views

Help w/ finding correlation between unemployment rate and home prices over the same time period?

I am interested in analyzing the correlation between nationwide home prices and nationwide unemployment rates, both of which are leading economic indicators. I have data on nationwide home prices by ...
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2answers
270 views

Cross correlation influenced by self auto correlation

I have two stationary time series ts1, ts2, I wanna find the cross correlation ($\textrm{CCF}$) between them. As a result, it ...
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32 views

Consistent estimate vs out-of-sample performance

When there is a cross-correlation structure in linear regression errors, the usual approach is to model the errors as an ARIMA process. It leads to a consistent estimate of the parameters of the ...
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3answers
104 views

Variance of average due to correlation between auto-correlated time series

I want to calculate the average value of $n_i$ time series each of length $n_t$, i.e. an average of $n_i \times n_t$ values, together with a measure of uncertainty. To be more concrete, I have ...