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5
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0answers
27 views

Multivariant time series in R. How to find lagged correlation and build model for forecasting

I'm new in the page and pretty new in statistics and R. I'm working on a project for college with the objective of finding the correlation between rain and water flow level in rivers. Once the ...
0
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0answers
34 views

Cross correlation in Stata

I have a cross sectional dataset of investment figures (in $) and a set of dependent variables. The data relates to various years (2000-2013). More than one investment is included in the dataset for ...
1
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2answers
56 views

Intuition behind auto/cross-correlation

I am really having trouble understanding the intuition behind autocorrelation. I mean why are we even calculating a correlation of some series with itself? Can anybody explain it in lay terms with an ...
0
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0answers
30 views

Normalized cross correlation vs Euclidean distance in template matching

What is the difference between normalized cross-correlation and Euclidean distance in pattern recognition? -- especially if we want to do recognition with template matching. I understand about ...
1
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1answer
37 views

Correlating two time series to account for lag and lingering effects

I am trying to find the correlation between two time series, call them A and B. Let's pretend A has the number of successful advertising campaigns for each month for a company, and B has the company's ...
0
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0answers
13 views

Cross correlation function plot

I'm a bit unsure how to interpret ccf plots. Is this done exactly the same way as acfs? For example, a slow decaying ccf means there is trend between the 2 time series? Can someone explain in terms ...
1
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0answers
45 views

Statistical comparison of two signals

I need to develop an algorithm that will compare two signals and generate some metric(s) to describe changes between them. Signal processing and analysis isn’t my strong point so I would appreciate ...
1
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1answer
100 views

Cross-correlation in Matlab

What is the difference between: 1) xcov(x,y,10,'unbiased')/sqrt(xcov(x,x,0,'unbiased')*xcov(y,y,0,'unbiased')); 2) xcorr(x,y,10,'unbiased'); 3) [A, B] = crosscorr(x,y,10); ? I think (but I am not ...
0
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0answers
25 views

Estimating the dof for t test of Correlation Coefficients of smoothed time courses

I'm working with an array of size 265 x 5000. Each column is a time series and the rows are points in a series of volumes ( voxels in fMRI ). I preprocessed this data in several ways, most of which ...
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0answers
125 views

Correlation between two variables over time

I have 5 individuals. I measure variable X and Y of each one of them over time (on 5 different time points). I want to find out if there are any correlations between X and Y over time and show the ...
0
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3answers
145 views

Time lag between correlated signals

What options are there for finding out what the time lag is for different time series? I'm looking at market data here - for example, if sugar does bad in a year, it's likely that soda might be hit ...
2
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0answers
40 views

Correlation of one binary input series and continous response series

I have one input series of type 0/1 (it is an intervention time series) and some metric response series. I need to have a look at cross correlations. Normally I would use Box-Jenkins-technique. But ...
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2answers
93 views

T-statistic of correlation coefficient

Hi I am trying to calculate the t-statistic for a correlation coefficient between two vectors $x$ and $y$. The individual vectors shows signs of autocorrelation. I have made use of the formula: ...
2
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1answer
55 views

Using cross correlation to infer dependence, can it be done?

I have a very particular question, I have seen a similar one here, but my knowledge is too limited to make use of it. I will try to explain myself as clearly as possible... Wish me luck! I have a ...
2
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1answer
392 views

Intuition behind cross-correlation function interpretation vs. correlation of lagged time series

Can someone please explain the difference behind WHY the cross correlation function ccf() chooses to keep the same denominator for all lags and chooses to ignore ...
1
vote
1answer
102 views

Determining odd time series

I have a number of time series which are derived of same underlying data. However, the data in each comes from a different source, so they may be slightly lagged or differently enriched but ...
2
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2answers
293 views

Detrending & cross-correlation function

I am looking for some help with my time-series data. What is the best method of detrending/transformation of these two variables, so I do not violate assumptions of stationarity when applying a cross ...
2
votes
1answer
173 views

Time series and cross correlation

I have two time series: numbers of subscriptions per hours for 10 days, for a website. the time where TV ads, for a specific TV channel, have been displayed e.g. 10:25AM on Monday 12 of August, TV ...
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0answers
196 views

Cross-correlation significance in SPSS

How do I test the significance of cross-correlation values in SPSS? It seems there is no option for this.
2
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0answers
249 views

How to calculate p-value for Cross-Correlation for two time series with delay?

I have two stationery time series that I want to see are they correlated or not. I decided to work with cross correlation, there is a good answer in Correlation between two time series but I dont know ...
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0answers
110 views

How to identify the cross-correlation lag/lead using R

I'm checking cross correlation between two time series. Each Time series has 105 weekly data points. I'm using the code z=ccf(x, y). Following are my significance ...
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3answers
727 views

Using correlate in Stata to compare within a variable

I am trying to compare correlations between subgroups of a variable. For instance, I am trying to compare the income of group 1 v. income of group 2 v. income of group 3 v. income of group 4, where ...
1
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1answer
122 views

Fourier phase randomization

Can anybody please explain or point to an online resource that explains the Fourier phase randomization technique? I encountered it in the context of comparing the cross-correlation of two signals ...
1
vote
1answer
64 views

Similarity metric not based on statistical correlation

I'm building a simple recommender algorithm and as a prerequisite to calculating a prediction, I need to assign a similarity metric between each two pair of users. The next step being calculating a ...
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0answers
295 views

How to do correlation in MATLAB

I'm trying to do correlation between two .wav files or two .pcm files using MATLAB. I just can't figure out how to do that! If anyone can help me I would appreciate it!
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0answers
75 views

Relationship between pairwise cross-correlations

I have pairwise cross-correlations between a. A and B, and b. B and C, where A, B, and C are three random variables. I want to know if it is possible to find the cross-correlation between variables A ...
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2answers
76 views

Assessing correlations, adjusted for time

I have time series data for two signals, $X$ and $Y$. At $\text{time}=0$, the both $X$ and $Y$ are roughly 50. As time progresses, $X$ increases to settle at 100 and $Y$ decreases to settle at 0. ...
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0answers
52 views

Cross correlation for extremely highly correlated series

I have two time series showing very high dependency, in the order of 99.99% correlation, and I need to study their lead-lag relationship. So far I've been looking at the Pearson correlation with 7/8 ...
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1answer
5k views

Cross Correlation (xcorr in MATLAB) vs Pearson Correlation (corr in MATLAB)

Are the values of xcorr(x,y) in MATLAB correlation values or not? I'm asking this because in MATLAB xcorr(x,y,'coeff') ...
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0answers
169 views

How to calculate confidence interval for autocorrelation- and cross correlation functions? [duplicate]

I would like to calculate the confidence interval for my autocorrelation function. Does this calculation differ in any way from the normal way of calculating confidence intervals? How would I ...
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0answers
156 views

Cross-correlation between two time series

I want to see if there is a correlation (or any sort of relationship) between two time series I am working with. One of them is a times series of temperature data, the other one is concentration of a ...
2
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0answers
233 views

p-values for all lags in a cross-correlation calculation [duplicate]

I am testing the lead-lag relationship among two variables with cross-correlation function (CCF) by SPSS. however, SPSS computes CCF coeficient for all defined lags, but it does not determine the ...
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0answers
116 views

I have two sets of data (regular time intervals) is there any way to find out when they correlated the most and when they don't?

Sorry if the title is a bit vague however, i'm not sure exactly how to make my sentence concise. I have two times series: Amount invested into Iraq across time (in months) Price of a stock across ...
0
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1answer
411 views

Cross-correlation with Spearman's method

I should investigate the lead-lag relationship among 2 sets of data, annual incidence of a disease and annual average data of an environmental factor for 13 consecutive years. Both sets are not ...
0
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2answers
243 views

Compare two time series

I have two time series that come from the same system. One is taken from the whole system, and the other is taken from, say, 10% of the system. The two time series have the same frequency. Is there a ...
1
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1answer
551 views

calculation of correlation time?

I have two time series of a two realizations of a random process, the process fluctuate around an average so i consider that is a ergodic process. I compute the time correlation function, but i need ...
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2answers
588 views

Which one consider when dealing with dummy variables: Exact Sig. (2-sided) or Exact Sig. (1-sided)?

I'm running a cross tab of one categorical variable against a dummy variable. This dummy variable indicates the presence or absence of a company characteristic(if the company is industrial it should ...
2
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1answer
141 views

Measuring error in the lag when cross-correlating data

Cross-correlation can be used to measure a 'lag' (or shift or offset) between two data sets (e.g., data streams). Is there a standard way to measure the errors in the 'lag'? Or better yet, is there ...
2
votes
1answer
302 views

Jointly stationary random process

If two wide-sense stationary processes $X(t)$ and $Y(t)$ are uncorrelated, then the cross correlation is $R_{XY}(t_1,t_2) = E\{X(t_1)Y(t_2)\} = E\{X(t_1)\}E\{Y(t_2)\}$, which will be a constant, ...
5
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0answers
334 views

Asynchronous (irregular) Time Series Analysis

I am trying to analyze the lead-lag between time series of two stock prices. In regular time series analysis, we can do Cross Correlaton, VECM (Granger Causality). However how does one handle the ...
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3answers
134 views

How to estimate the correlation between a property of two populations given several algorithms

Editing question to be more specific: I'm relatively new to statistics, and hoping I can get some help. The brilliance that is Stack Exchange has been immensely helpful in the past. In my case, I ...
0
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2answers
116 views

Cross-correlation of massive arrays

I have 16 1D arrays with approximately 10-11 million double-precision elements each. I need to execute a cross-correlation across them, i.e., 1 with 2, 1 with 3, ..., 1 with 16, 2 with 3, 2 with 4, ...
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0answers
416 views

When can I use STL decomposition?

Let us say I extract all tweets containing a certain hashtag (main subject of the tweet) and bin them by the hour i.e. count the number of tweets that occurred during a certain hour. I will then be ...
2
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0answers
89 views

Can I compute cross correlation after decomposition?

Given two time series within the same time period, I can use the ccf function in R to compute a notion of similarity of these ...
0
votes
1answer
107 views

Correlated errors between variables [between / within subjects, within variables, everything]!

I am trying to figure out good model to analyze social dynamics using a model. I have commenting data from a website. Such as 500 articles, 10000 users, and their 75000 comments. Every user does not ...
2
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0answers
114 views

Probability distribution of windowed cross-correlation

This question is in the context of time-delay estimation. Say I have a stationary Gaussian stochastic process $g$, and I know its autocorrelation function $R_g(\tau)$. To do time-delay estimation, I'm ...
3
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0answers
276 views

Normalized correlation with a constant vector

I am confused how to interpret the result of performing a normalized correlation with a constant vector. Since you have to divide by the standard deviation of both vectors (reference: ...
7
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2answers
711 views

Cross correlation vs mutual information

What is the difference between Cross Correlation and Mutual Information. What kind of problems can be solved using these measures and when is it appropriate to use one over the other. Thanks for the ...
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0answers
34 views

A reliable measure of series similarity - correlation just doesn't cut it for me [duplicate]

Possible Duplicate: A reliable measure of series similarity - correlation just doesn't cut it for me I'm trying to determine a method to compare one particular time series against about ...
2
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1answer
148 views

If F = F1+F2 is some measured random field, how to find out if F2 has been correctly estimated and subtracted?

I have a random field, F, defined on the surface of a sphere pixellized into about a million points. I know that F must consist of two components - F1 and F2, F1 being a true signal and F2 being some ...