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

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75 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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6 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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23 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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30 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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1answer
55 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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11 views

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
51 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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12 views

Suggestion about: Image based position estimation with cross correlation

I have a image processing project.the process steps are: Take two image from google maps with longitude and latitude Calculate distance between two images from longitude and latitude with haversine ...
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1answer
30 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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30 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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28 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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25 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 ...
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1answer
74 views

Code for detrended cross-correlation in R

I want to code for Detrended Cross Correlation in R for time-series data but I'm still stuck. I don't know why the coefficient is not in range -1 : 1. I try to write following these equation below ...
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18 views

Cross spectrum problem

I'm looking for some advice to find the cross-spectrum for this system. $$ y_t= r_t+\epsilon_t$$ $$ r_t=\frac{\theta}{1-\psi z^{-1}}u_t $$ and the input is $$u_t=(1-\gamma z^{-1})w_t $$ ...
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22 views

What are good values for autocorrelation, Gelman, and cross-correlation in rjags?

I don't want to post my whole code since it is long, so I will only post part of it: ...
2
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1answer
77 views

R Own Implementation of Cross Correlation using Convolution

I try to implement my own cross correlation function in R by translating it as a convolution problem. Part I: So I have two arrays, e.g. two identical arrays, and I want to get the cross correlation ...
2
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1answer
34 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 ...
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42 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 ...
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2answers
83 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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13 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/) ...
2
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1answer
147 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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14 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
35 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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121 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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21 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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17 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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52 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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12 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
57 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. ...
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1answer
43 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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16 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
140 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 ...
2
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1answer
96 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 ...
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1answer
72 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 ...
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1answer
150 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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16 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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51 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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132 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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63 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
301 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
237 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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95 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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72 views

Cross-correlation vs. Pearson Correlation

In general terms, what is the difference(s) between cross-correlation with lag = 0 and Pearson correlation?
4
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1answer
317 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
37 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
24 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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33 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
129 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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116 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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73 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. ...