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17 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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0answers
41 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
116 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 ...
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2answers
120 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
24 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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0answers
54 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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0answers
34 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
79 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 ...
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1answer
23 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 ...
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1answer
16 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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23 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 ...
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1answer
72 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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0answers
46 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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36 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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0answers
79 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
27 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
29 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
27 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 ...
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1answer
69 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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1answer
660 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
79 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
70 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
568 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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0answers
145 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: ...
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1answer
71 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 ...
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2answers
41 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
35 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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0answers
55 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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0answers
90 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 ...
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0answers
109 views

Practical meaning of expected value, standard deviation & correlation

We've got given annual results of two stock companies described with following values: Company X: expected value $\mu_X=0.05$, standard deviation $\sigma_X=0.02$ Company Y: expected value ...
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0answers
31 views

Regression with t distributed autocorrelated errors

I am new, so please bear with me, until its correctly formulated: In short: I am doing simultaneous non-linear regression (parameter estimation) of two different parametric models to three different, ...
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0answers
161 views

Prewhitening time series: ARIMA-modelling versus polynomial trendelimination

I'm concerned with Box-Jenkins-models and especially the first step, the prewhitening to obtain meaningful crosscorrelations for identifying transfer functions and building regression models. I'm ...
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1answer
454 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 ...
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0answers
58 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 ...
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2answers
189 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 ...
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1answer
216 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 ...
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1answer
84 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 ...
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0answers
61 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 ...
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1answer
198 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 ...
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1answer
2k 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 ...
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0answers
77 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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387 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 ...
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3answers
638 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 ...
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0answers
48 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
125 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
88 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 ...
3
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1answer
1k 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 ...
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2answers
137 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
490 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
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1answer
292 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 ...