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

learn more… | top users | synonyms

0
votes
0answers
4 views

Cross Correlation lag control [on hold]

I am cross correlating two signals: A=1000 elements and B with 3500 elements. I do it with matlab xcorr and it gives me 3500*2-1 elements. In a loop i do it many times. But from xcorr result I am only ...
0
votes
0answers
16 views

Correlation : values data sets and unique keywords [duplicate]

I'm trying to figure out what's causing my stomach pain recently and I have logged the following data twice a day: A grade on a scale from 1 to 10 on how much my stomach hurts Foods (unique names) I'...
0
votes
0answers
18 views

Correlation between yearly store-sales and cross-sectional time series

I have a monthly time series data (for five years) on a particular store about its sales, marginal sales, inventory, etc. I also have monthly cross-sectional data (for five years) on the same. I ...
3
votes
0answers
47 views

(Cross) Correlation of time series with very different sampling intervals (sec. vs days)

This is my first post on Cross-Validated. I read a lot of question related to my problem, but no one was completely satisfying. I have two time series that are sampled at very different time ...
1
vote
0answers
5 views

Lagged time series analysis

Given 3 continuous, normally distributed, independent, time-series vectors (X, Y, Z) and 1 continuous, Poisson distributed, dependant, time-series vector (A). How can I rank the independent vectors in ...
0
votes
0answers
8 views

Periodic Cross-Correlation vs Aperiodic Cross-Correlation

I am doing research in spread spectrum communication, and many papers frequently use the terms Periodic Cross-Correlation and Aperiodic Cross-Correlation. However, I cannot find a clear definition of ...
1
vote
0answers
13 views

ELI5: Cross-Covariance

Following up on this question on the difference between covariance and correlation, how would you explain cross-covariance to a layman? If possible without formulae.
-1
votes
1answer
207 views

Correlation between two 2D arrays

I could not find anywhere, how to calculate correlation between two arrays. Say I do have Array1 with X and Y values and also Array2 with X and Y values. I tried to do some calculation and inserting ...
2
votes
1answer
88 views

Correlation between spatial distributions

I have three bivariate data sets of different sizes and the same sampling interval. These represent the variation of dry river bed direction with distance at equidistant sample points. When plotted ...
0
votes
0answers
15 views

Excel function (or macro) for cross-correlation between dichotomous or binary (e.g., 1 or 0) variables?

I have an Excel spreadsheet with columns of different variables that are dichotomous or binary. These variables can take on values of either 1 or 0. I want to find cross-correlations between any two ...
0
votes
0answers
19 views
1
vote
0answers
20 views

Cross correlation of gaussian signals with its mean signal gives non-gaussian distributed scores

The following is my question: I have signals that contains noise, they are of the following form see the figure below.. Then I take the mean signal of all these signals (identical in length and shape)....
0
votes
1answer
30 views

Cross-correlation with Spearman's method

I am trying to calculate the cross-correlation between two time series. I know that ccf in R base can slove this problem and it uses Pearson's correlation method. My question is: How can I calculate ...
0
votes
0answers
15 views

Compare two distributions with varying focus on different regions

I have been trying to find if my problem matches has been discussed in prior research and if any technique exists to solve it. Here's the problem: Given two distributions (pdf) D1 and D2 over a ...
1
vote
0answers
19 views

How can the Cross-correlation of two time series be used to measure similarity between vectors

Because cross correlation methods (like numpy.correlate) typically return vectors, how can they be used to determine the similarity of two input vectors
1
vote
0answers
39 views

Cross correlation function in more than one dimension

The cross correlation function is $CCF(\tau) = \int f(t)g(t+\tau)dt$ My question: are there any extensions to higher dimensional spaces? For instance, assuming space dimension $x$ is orthogonal to ...
0
votes
0answers
16 views

Covariance between added harmonic timeseries

I am trying to construct a covariance matrix for an optimization between two added harmonic time series. In general, the basic equation looks like this: $Z(t)=Y(t)-X(t)$ When I break this down into ...
0
votes
0answers
16 views

Correlate incidence rate with number of cases

As title says, I want to see how well incidence rate (over a period of years) of a disease compares with number of cases of a certain procedure (over the same period of years) used to cure it. How ...
1
vote
1answer
95 views

Pearson correlation coefficient for lagged time series

I am trying to calculate lagged Pearson correlation coefficient between time series. I am not interested in calculating cross-correlation. I want to calculate Pearson correlation coefficient because I ...
1
vote
1answer
64 views

How do I interpret this cross correlation function (CCF) plot?

I am working on some exchange rates data. I have two series: $X_t$ with the official exchange rate (e.g. forex) $Y_t$ with the exchange rate on the "black market" (e.g. currency exchange houses at ...
1
vote
0answers
29 views

Distribution of two correlated multivariate normal distributions

Let $\varepsilon_{s}^{FR}$ follow a Gaussian Markov process so that ${\varepsilon_{s}^{FR} = \rho \varepsilon_{s-1}^{FR} + \xi_{s}^{FR}, \: \xi_{s}^{FR} \sim \mathrm{i.i.d.} \: N(0,\sigma^{2}_{\xi^{...
0
votes
0answers
43 views

Cross correlation analysis

I am correlating two different types of sensor outputs using cross correlation (xcorr in Matlab). After plotting the probability of correlation at varying lead or lag times, I want to define the ...
1
vote
0answers
21 views

SPSS Autocorrelation, Cross correlation, Mulitple Imputations [closed]

I'm wondering if someone can help? I want to combine multiple imputed data sets. Is there a way to determine the pooled autocorrelation coefficients and standard errors in data where there are 10 ...
1
vote
1answer
23 views

Deriving the single factor model

Consider the following regressions: $y_1 = \beta_1 \cdot x + \gamma_1 \cdot \epsilon_1 $ $y_2 = \beta_2 \cdot x + \gamma_2 \cdot \epsilon_2 $ With $\epsilon_1$, $\epsilon_2 \tilde{} N(0,1) $ as ...
0
votes
0answers
34 views

Which test statistic to use to test for cross-sectional dependence in panel data (R, plm)?

I would like to test for cross-sectionally dependent residuals in my panelmodel (pooled). I found pcdtest() in plm package and tried ...
2
votes
1answer
113 views

Cross-correlation of two autocorrelated signals (removing autocorrelation with ARIMA)

I want to get the cross-correlation of two time series x and y in R. I have calculated an ARIMA model, and I can get the ...
0
votes
0answers
25 views

calculating correlation that involves a variable calculated over a certain time period

My research is an education research. I administered a survey at time point 1 (TP1), 2 (TP2), and 3 (TP3). This is a likert-type survey, measures let's say Concept1 and Concept2. The sample size is ...
3
votes
2answers
121 views

Cross-correlation between two seasonal series

To determine cross-correlation between Sales and Variable cost, both having monthly seasonality, do I need to de-seasonalize ...
0
votes
0answers
34 views

How to quantify the relationship between Social Media Sentiment and Monthly Sales time series data

I'm doing a side project at school which is to understand if there are any causal relationship between social sentiment data and sales (either good/neutral/bad comments from facebook or tweeters will ...
1
vote
1answer
76 views

How to test if I can use cross-correlation?

I want to compare two time series in R and see if they are cross-correlated (with ccf). I believe that they have to be stationary? How that my data is stationary in R and are there any other ...
0
votes
1answer
30 views

Cross-correlation gives autocorrelation in R?

I am not very familiar with cross-correlation analysis. I am analysing a large number of "paired" time series. For each pair, I am doing a ccf in R. I read in other posts that the horizontal line ...
0
votes
2answers
99 views

Testing significance of cross-correlated series

I want to prove that, overall, signal B is correlated to signal A. I was thinking of using cross-correlation (in R) to measure this. Essentially I have two kinds of signals: signal A is a series of ...
1
vote
1answer
220 views

Cross Correlation and Prewhitening

I am using cross correlation to demonstrate a potential link between two time series (ext & co). Both series are strongly autocorrelated, so it is difficult to assess the dependence between the ...
3
votes
0answers
72 views

Cross correlation between 2 filtered time series

I have 2 band pass filtered time series for 30-90 day band I would like to understand the lagged correlation between these 2 series in this band. The issue is that autocorrelations exist in both ...
0
votes
1answer
57 views

Detrended Cross Correlation in R

I am looking at determining the relationship between two non-stationary time series, i.e. monthly cost and sales for a period of ...
0
votes
0answers
69 views

can fixed effects be controlled for in panel corrected standard errors(XTPCSE)

I am doing a panel data analysis. I have serial correlation and groupwise hetroskedasticity in my model and if I don't control for time effects (year effect) then I have contemporaneous correlation ...
0
votes
0answers
18 views

Correlation in Non-Stationary Economic Time Series Data in Excel

Which good tests (approx 3) can I run to show that two countries economic variables (eg inflation) are 'correlated' (ie move in same pattern) over time? The data is probably non-stationary, so as ...
0
votes
0answers
14 views

Specifying parameters in lmer package to compute ICC

I have a dataset as shown below ...
1
vote
0answers
44 views

Finding causality and cross correlation of multiple variables in time series

I'm new to time series. I have 24 variables in a monthly measured time series from 2009 to 2015. The time series measures how much production data that is registered in a ERP system and are ...
0
votes
0answers
57 views

Cross correlation and time series

I have two data. One is annual time series, another one is seasonal time series. Does the cross correlation change from season to season and for different lags?
1
vote
0answers
45 views

Two variables correlated to a third one but not together

Let's consider the following correlation matrix: $$\begin{pmatrix} 1 & 1 & 1 \\ 1 & 1 & 0 \\ 1 & 0 & 1 \end{pmatrix}$$ which describes the correlation between 3 random ...
2
votes
3answers
73 views

How to detect inversions in the behavior of two time series through an online algorithm?

I would like to know if there is any technique which is capable to detect online (i.e. considering a sliding window) if there is a correlation between two time series. In particular, I'm trying to ...
0
votes
0answers
228 views

cross-correlation matrix for time-series data in R

I have a time series data (in day format) of 5 places for 15 days stored as a matrix. The structure of data is ...
1
vote
0answers
30 views

Compare if a time series is more correlated to the time series in a group than to the time series in another group?

Given a time series $T_0$, group 1 of time series $T_{1,1},...,T_{1,n_1}$ group 2 of time series $T_{2,1},...,T_{2,n_2}$, ... group m of time series $T_{m,1},...,T_{m,n_m}$, what are some ways to ...
0
votes
0answers
22 views

Determining asynchronicity in event data

Imagine events occurring over time in 5 subjects. Each time a subject does something then you see a spike on their timeline. Each event is binary - it either occurs or it doesn't, there is no ...
0
votes
0answers
34 views

How do i combine several time series to create one lagged regression model?

I’m totally new to time series and desperately after some advice. For each of 100 topics I have the values of 2 variables X and Y for 50 consecutive days. I believe there is a lead/lag relationship ...
2
votes
1answer
122 views

Correlation as a time series

I have been studying a few simple statistical models for (univariate) time series. From my understanding, ARIMA and its siblings are used to model the mean of a time series. Rather than a static ...
2
votes
0answers
69 views

Cross-validated cross-correlation

I am trying to build a regression model for the forecast of stock market returns. The regression takes about 100 variables as input and my training data consists of n=234 weekly data points. I am ...
1
vote
0answers
64 views

Multiple Cross-correlation

I'm trying to compare two sets of time series. I've successfully used cross-correlation to compare two series between them, but I'm not sure about the way to go for several series. Let me be more ...
1
vote
0answers
59 views

chicken egg problem

I should run a test to determine whether variable A affect variable B or viceversa. What type of test should I use? Imagine that we measure the time slept per night (A) and the activity performed ...