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

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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
38 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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22 views

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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61 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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20 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
56 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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20 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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1answer
59 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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73 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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46 views

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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38 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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12 views

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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14 views

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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13 views

Specifying parameters in lmer package to compute ICC

I have a dataset as shown below ...
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32 views

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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0answers
41 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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34 views

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
64 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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91 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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22 views

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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21 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
68 views

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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57 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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40 views

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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57 views

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
51 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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103 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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182 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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29 views

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
98 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
230 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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31 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
101 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 ...
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100 views

Cross- correlation between two non-stationary time series

I have two time series that are growing together. I want to measure if these series are growing similarly together with some lag. Originally, I was thinking I would just take the cross-correlation ...
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1answer
32 views

Event data correlation

I have two sets of data from two different types of sensor. For each instance a sensors output exceeds a threshold the amplitude and time is it is logged as an event. Thus each event consists of a ...
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38 views

cross correlation of partially correlated signals

I measure $x(t)$ and $y(t)$, two stationary random signals, and I want to find out if, and how much, they are correlated. What I'm doing is to plot the cross correlation ...
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299 views

C++ Pattern Matching with FFT cross-correlation (Images) [closed]

Hello everyone I am trying to implement patter matching with FFT (cross-correlation) (I am using this https://www.cs.uaf.edu/2007/spring/cs481/lecture/03_29_fft_image.html as reference) The idea of my ...
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1answer
100 views

Do we need to detrend when do Cross-Correlation between two time series?

I have a group of time series variables and I want to found out the relationship among them. The method I use is to calculate pair-wise correlation between two time series and found out those with ...
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1answer
208 views

What algorithm can I use to find correlations between events?

I am new to machine learning so I am trying to find some literature but I'm not even sure what to Google for. My data is of the following form: ...
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16 views

Event Study Market Model Index Selection

my sample firms are 7 banks of which four are european banks and three american banks. When using the market model in an event study what would be an optimal market index? Also, is it better to use ...
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42 views

cross correlation using fft giving unexpexted results

I tried posting this question last week, but since it wasn't answered I decided to rewrite the question with a simpler, more direct format. I am using r to compute the cross correlation between two ...
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36 views

Does possible autocorrelation in data affect simple correlations?

I have a question concerning autocorrelation in data affecting correlation coefficients. Consider a time series of stock returns (e.g. 10 trading days) of different stock markets (A, B, C and D) and I ...
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68 views

Help needed with correlating two datasets

First cross-validated question so please be gentle :o) I have two datasets all gathered and managed in 'R'... Dataset 1 - News Corpus. Contains 3,270 entries from the period 1/Apr/13 to 31/Mar/14. ...
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CCF time lag in minutes in R

I have data sampled every 5m and I want to estimate the ccf between them, in order to do it I prewhiten the time series x and y and then I apply CCF But lags are not direct related with my sampling ...
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1answer
97 views

How to calculate the cross correlation between two time series measured at different instants?

I have two time series with measurements of the same type but different stations. I would like to know if the two series are correlated and how much is the "lag" between them. The idea is that in this ...
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1answer
95 views

Calculate correlation between events and signals in time series

I have a time series signal (continuous values) and some events occurring. An event for me is characterized by the fact that it only has a single timestamp assigned to it and not a timespan. Is there ...
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119 views

Calculate cross correlation between two time series when translating one along the time

When calculating cross correlation coefficient between two time series A and B, both being in their time windows of finite lengths, I translate one time series, say B, along the time by each lag, and ...
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105 views

Correlating two time series with delay and non-periodic sampling times

I am trying to analyze some data using Matlab. There are two datasets sampled by different sources over time (no fixed sampling frequency). After reading the data I perform a linear interpolation of ...
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32 views

Analysing the correlation between two trends

I've got 2 growing trends. One is the input (the number of published articles on a website) and I want to understand if the other appears to be correlated (the number of daily visitors). The problem ...