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22 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
27 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
19 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
24 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
75 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
51 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
46 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
332 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
38 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
62 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
37 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
26 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
41 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
68 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
83 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
25 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
120 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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0answers
216 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
51 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
134 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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0answers
162 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
71 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
44 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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0answers
111 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
987 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
59 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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302 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
380 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
45 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
113 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
76 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
884 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
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1answer
115 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 ...
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2answers
413 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 ...
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1answer
229 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
312 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.
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0answers
347 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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3answers
1k 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 ...
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1answer
191 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 ...
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1answer
67 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
421 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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2answers
90 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
62 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
7k 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
170 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
187 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
234 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
139 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 ...
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1answer
600 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 ...
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2answers
262 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 ...