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

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14 views

How can I estimate the delay between two non-periodic time series?

I'm wondering what the best way to estimate the delay and confidence between two non-periodic time series would be. Specifically, I thought it would be interesting to look at the different economic ...
2
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0answers
31 views

Why and when stationarity is achieved by decomposition rather than differencing in ARIMA model

I would like to understand relationships between variables by which cross-correlation function, that means what is the extent one variable influence the other one. ARMA model is used to fit two ...
0
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2answers
28 views

Coefficient for a zero lag cross-correlation different from Pearson correlation r

Reading around I understood that using a cross correlation with lag zero should give the same results of a normal pearson correlation. It happens that this is not the case for me. What could be the ...
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0answers
5 views

What is the expected Normalized Cross Correlation of one noise signal with another?

I'm attempting to make amendments to a machine vision program that makes use of Normalized Cross Correlation (e.g. as defined at https://siddhantahuja.wordpress.com/tag/normalized-cross-correlation/) ...
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1answer
48 views

Feature selection for time series data

I am looking for methods for feature selection (or feature extraction) for time series data. Of course I did some research before, but it was not satisfying. I am aware of methods like PCA, ...
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11 views

Correction of data using a correlation

Suppose I have measured the outcome variable A using a (psychophysical) test that determines the ability of a subject to discriminate between two stimuli with a certain difference (the variable X). It ...
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0answers
13 views

how to specify range of lag in prewhiten CCF using package TSA in R

I am doing time series regression using package TSA in R. I have 2 time series, say x and y, so I started by doing prewhitened CCF. So, 2 issues I have encountered and would really appreciate if any ...
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3answers
109 views

Random variables have non-zero covariance but expected sample covariance is zero? (intuition)

This post asks "why a familiar and widely used estimator of sample covariance has expected value zero, in a situation where the variables involved are characterized by non-zero and equal pair-wise ...
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14 views

What normalization factor to use in Inverse Discrete Fourier Transform of Cross-Spectrum?

I have applied the Lomb-Scargle approach to estimating the cross-spectrum of two irregularly sampled time series and I am trying to obtain their cross-correlation by applying the inverse Discrete ...
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9 views

similarities between two signal using correlation

let say we have two signal ,there is given their time domain plots and also correlation plot and final correlation plot it should be noted that both signal have same spectral structure,they ...
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45 views

Can I use correlation metrics also for time series?

I was using the cross correlation function in R (ccf) until now to discover correlations and lags between two time series. I was wondering if I can use all other ...
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8 views

Can the coherency spectrum be used as a substitute for cross-correlation?

I know I could inverse Fourier Transform from the frequency domain to the time domain, but let's say I don't want that. Can I make the same conclusions by using the coherency spectrum just as I would ...
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1answer
34 views

Similarity between two samples (2D matrices)

I have two matrices: A= 4000x78 where 78 is the dimension of features and 4000 is the number of samples. B= 1000x78 where 78 is the dimension of features and 1000 is the number of samples again. ...
1
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1answer
24 views

How to obtain cross-correlation function from cross-spectrum?

I have implemented a piece of code based on the Lomb-Scargle approach for determining the cross-spectrum of two time series. My cross spectrum contains complex numbers and I have used the basic fft ...
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0answers
15 views

Time series causation and probability

I have a series for an individual that looks like this: There are observations of the individual at random times. At each time they may experience an event and the outcome fo that event is binary ...
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3answers
114 views

Is my time series stationary?

I am using R and have found that both KPSS ( Kwiatkowski-Phillips-Schmidt-Shin ) and the adf (Dickey-Fuller) tests indicate stationarity, having a p-value of 0.01. Here is a plot of the original ...
1
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1answer
77 views

How do you generate correlated ARMA(1,1) models?

I am interested in generating two ARMA(1,1) time series with a pre-defined cross-correlation p between x(t) and y(t). If you could please provide the mathematical framework and the code in R for ...
1
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1answer
65 views

How to Determine whether Simulation Draws are Correct

I have implemented algorithm 1 and 2 in this paper http://www.lse.ac.uk/statistics/documents/researchreport61.pdf for the analysis/simulation hidden states for some time series. The reason why I am ...
3
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1answer
108 views

How to synchronize two signals using FFT in R?

I have two signals that I want to synchronize. I could achieve this by doing a cross-correlation using the ccf function and finding the lag time at which the ...
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15 views

Cross correlation using photographic film

I used to work for a guy who told me about working for an oil company, probably in the 1960's, doing cross correlation work by sliding two pieces of developed film strips across each other (maybe they ...
2
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38 views

How to estimate the percent of the variation of a time series explained by another time series (non-stationary)?

I've been learning about time series analysis because I want to understand how much groundwater level changes in an aquifer affect land subsidence (land sinking). I have two time series: (1) ...
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0answers
90 views

Hayashi yoshida estimator for correlation not coming between -1 to 1

I took two time series data with 141 data points in total with time stamps. i found out actual correlation between them which is about 0.97. Now i find the Hayashi Yoshida estimator for correlation. ...
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50 views

Linear regression with a delay : $R(t)= a S(t-\delta) + \epsilon$

$R(t)$ corresponds to soil respiration values in function of the time $S(t)$ corresponds to solar radiation values in function of the time $R(t) = a S(t-\delta) + \epsilon$ How calculate the ...
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1answer
233 views

Spatial Cross-correlation Function

I have code that calculates a bias-adjusted estimator xi(r) defined as a measure of the excess probability dP, above what is expected for an unclustered random ...
2
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2answers
203 views

Reproduce Cross Correlation results in Python

I'm trying and failing to reproduce the results found in this paper, where the cross correlation between two distributions is calculated: ...
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1answer
50 views

Formatting Time-series data for Cross-correlation

In an experiment we measured 100 response times for each subject. The data has the following format: ...
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75 views

3 month forecast for commodity prices in R - general help for approach

In the following I'll describe my undertaking as detailed as possible in order to provide you enough information. Please keep in mind (when answering) that neither I'm a matematician nor a ...
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55 views

Cross-correlation vs. Pearson Correlation

In general terms, what is the difference(s) between cross-correlation with lag = 0 and Pearson correlation?
3
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1answer
211 views

Cross correlation for very sparse binary data

I have a very large (5271159x60) sparse (~2.5%) binary matrix, and I'd like to calculate the cross correlation between each of the columns (sensors) for a series of lags from -10:10, which would give ...
0
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1answer
30 views

Matching two power signals for similarity

Below are the images of two signals that i plotted. Both the signals are from fridge belonging to different houses. Visually looking at the plot i can tell that these plots belong to fridge as they ...
0
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1answer
20 views

Maximal coss-correlation formula

I'm reading "Comparing SVM and Convolutional Networks for Epileptic Seizure Prediction from Intracranial EEG" by Yann Lecun et al, and in the paper they present the following formula for maximal ...
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28 views

Cross correlation of two power signals

I have two devices and their power usage data. I am trying to see how co related these two devices are. i.e If i use device 1 then how often i am using device 2. It will be helpful if anyone can ...
3
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1answer
115 views

Counterintuitive result when comparing two groups of time series

I have two groups of time series and I am testing the hypothesis that the groups can be distinguished in some way. Each time series is measurements of an individual’s pupil size as they listen to an ...
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84 views

Can I remove seasonality from a cross-correlation using LOESS?

I’m attempting to determine if relationships between two abiotic variables: river discharge (flow; $m^3/s^{-1}$) , temperature ($^oC$) and a response: juvenile fish biomass ($g/m^2$) have any ...
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61 views

Validating cross correlation between sine and cos, shouldn't phase lag be pi/2?

I have asked this question but did not get a satisfactory answer. ...
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143 views

Proper normalized cross-correlation

I'm confused with the widely used approach to compute the normalized cross-correlation which is something like this: Standardize the argument vectors (of equal length $n$). Slide one over the other ...
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0answers
32 views

Initiator follower analysis with time series data sets

I am a newbie to this forum. I searched different white papers and codes on google but couldn't find a solution, that's when I registered on this forum.. Please share in case you guys have a idea as ...
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0answers
31 views

How to understand this “normalized product-moment correlation” description

I've recently come across this formula from an ITU-T standard in a project that I'm working on. The application of the formula is to compare two vectors containing some per frame statistics from two ...
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0answers
30 views

ANOVA and dependence WITHIN a group

I have three different methods that I would like to compare using ANOVA. The variable to compare is method accuracy that I get trough cross-validation. This means that the same data set (N=60 ...
0
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1answer
226 views

Cross-correlation in matlab: symmetrical plot and sign convention

I have two cosine signals in MATLAB both having a frequency of 100 Hz and the second signal has been delayed in time by 0.003 seconds. Both signals have been sampled at 1 Khz. When I use the cross ...
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2answers
2k views

Interpreting CCF correlation in R

I am using ccf to find a correlation between 2 time series. I am getting a plot that looks like that: Note that I am mainly interested in correlation for the ...
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1answer
149 views

Cross-correlation in R – dealing with missing values

I have two time series. One is an environmental variable (n = 108) organized by year and month. The other is a biological variable, also organized by year and month, but I have no data for some months ...
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1answer
136 views

Convert Cross Correlation to Probability value

How can I convert the [-1;1] bound cross correlation value to a probability [0;1]. Cross correlation measures the similarity of two signals / images A,B, I aim at expressing this in the probability ...
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4answers
948 views

How to perform proper data mining on time-series data?

I have some daily data from city A, B, C. Values from city A are highly correlated with values from other cities for lag -1,-2,-3 and -4. I want to use Random Forest, SVM and ANN to predict values ...
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253 views

Which Xcorr to choose in a concrete situation: normalized/not, biased/unbiased?

I have 2 data sets, one is binned and another is not, 9000 values each. Something like this: ...
2
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1answer
98 views

Finding a subset of the data in which two variables are independent

I have a dataset of ~400 subjects. For each subject, I have about 18 variables (V1...V18), all of those continuous and measured at the same timepoint. A paper I'm working on would benefit from ...
2
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2answers
44 views

Crosscorrelation of stochastic process

Let $Z_1,Z_2 $ i.i.d. standard normal $$ X(t) = \begin{cases} 0, & \text{if } t<Z_1, t<Z_2\\ 1, & \text{if } Z_1\le t <Z_2 \text{ or } Z_2\le t <Z_1 \\ 2, & \text{if } t\ge ...
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0answers
38 views

How can I specify cross-correlations between differential equations?

for my Master thesis I want to model co-movements between two commodity forward curve. First, I specify the model for a single forward curve $F(t,T)= \bar{F}_0(t)e^{s(T_i)-y(t,T-t)(T-t)}$ where ...
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68 views

Correlation coefficient in longitudinal data

We are performing a longitudinal analysis over different characteristics (variables) of a single subject of analysis. Our goal is not to make any predictions, but rather analyse correlations among ...
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112 views

Cross-Correlating more than Two Time Series

this is my first post to stackexchange, I have read many solutions, especially to programming questions in R and have appreciated their helpfulness. Currently I find myself stuck with a time series ...