Tagged Questions

3
votes
1answer
43 views

Measuring Similarity of two Transient Signals

I am trying to measure the similarity between two signals, i.e. how identical they are. A complete overlap (two lines forming a single line) should give me a value of 1, the greater the distance, ...
2
votes
2answers
73 views

How do you explain 'co-integration' to determine spurious regression to a fairly new time series student?

I would appreciate it if someone could explain the concept of spurious regression intuitively / without it being too technical. So far the student understands that spurious regression is basically ...
0
votes
0answers
38 views

Whitening data and testing for correlation

Before I start I would like to mention that I do NOT have a mathematical background, so please answer in a ... easy to follow manner. I'm testing 2 sets of stock market data (Shanghai Stock exchange ...
1
vote
1answer
47 views

How to test for one way correlation between time series?

I want to test existence of correlation between two time series but I suspect that there would exist only one way correlation. By one way, I mean that changes in Series A should bring about a change ...
2
votes
0answers
50 views

Forecasting of highly correlated time series

In time series forecasting using various models like AR,MA,ARMA, etc, we usually focus on the modeling of the data in the change of time. But when we have 2 time series that Pearson correlation ...
0
votes
1answer
56 views

Tests to establish correlation

I'm trying to analyze if there exists any correlation between two time series? So far I have not been able to notice any significant correlation. So if I were to assert in my report that these time ...
1
vote
1answer
72 views

Calculating the corr. coefficient between returns of portfolios in EXCEL

I want to determine the correlation between the returns of a portfolio with returns of the market (suitable index). To find how the portfolio performs in bear resp. bull markets, I want to calculate ...
5
votes
2answers
133 views

spatial autocorrelation for time series data

I have a 20-yr dataset of an annual count of species abundance for a set of polygons (~200 irregularly shaped, continuous polygons). I have been using regression analysis to infer trends (change in ...
1
vote
2answers
144 views

'Stationarity requirement' why?

I am working on measuring variability of geotechnical data. I see in the literature it is mentioned that, non-stationary data should be first converted into stationary data (for example by trend ...
0
votes
0answers
28 views

Performing linear regression analysis on two data series with different sample spacing

I have a record of one climate variable with a data point every year, and another one which has sample spacing that varies between 1.3 and 75.2 years. I even have a few ages in that series for which I ...
0
votes
0answers
48 views

Is average the best metric for aggregate correlation across financial time series?

I read this question. However, I'm not sure if my question is necessarily redundant. I'm just wondering if it is appropriate to use average correlation as the best measure of overall dynamic time ...
0
votes
1answer
66 views

Advice needed for time series correlation

I have two time series data sets that I wish to compare. One is from an automated process of laboratory generated medical test results. The positive test results occur every day over N years. The ...
1
vote
0answers
136 views

How to measure the “average” autocorrelation of a time-series signal with itself

I have a short time series signal (say around 30 samples), and I would like to check whether or not it's oscillating. One approach I came up with was to measure the autocorrelation of the signal with ...
0
votes
0answers
38 views

Variability of data

There is a student, who is taking only 2 classes in one semester. Class 1: Math, Class 2: Science. For each of the classes, every Thursday a quiz is taken. There are no other exams or hw; only the ...
0
votes
0answers
83 views

Specifying MGARCH parameter constraints in Stata

I am having trouble specifying parameter constraints for the dynamic conditional correlation (DCC) MGARCH model in Stata. Specifically I would like to set the constant correlation parameter ...
0
votes
0answers
60 views

Results from DCC MGARCH variance is increasing

I used the build in command in Stata to perform DCC M-garch(1,1) to estimate the variance and covariance of a Stock and the Market The variance of stock is ok, but variance of the market is ...
1
vote
1answer
154 views

How to test for serial correlation of a time series itself (not residuals)?

We know that Ljung-Box test can be used to test for the residuals of a fitted model. But to test for the serial correlation of a time series itself, is there a way to do that?
0
votes
0answers
97 views

samples from forecasts of VAR time series model in R

I'm trying to do a power analysis for a future experiment with time series financial data. We'll be splitting the data by random (actually, stratified) geographies, so we have a control and ...
0
votes
1answer
137 views

Correlated time-series

First, I would like to apology if my vocabulary is not correct. I am not statistician (and not mother tongue English speaker either). So here is my problem : For n subjects I got 8 values (human ...
0
votes
0answers
16 views

Correlation of a poll and another measure

I have this problem and I'd like some pointers to a "standard" method of solving this issue. I have two time series, with points taken at the same time for each one of them; series A is a poll, of ...
0
votes
1answer
62 views

How to generate more than two correlated series in R?

I'd like to generate more than two (i.e 3) correlated series, take an example when the series follows an IMA(1,1) process, at first I want to generate three correlated random errors ...
0
votes
0answers
51 views

How to generate 3 correlated random series where all follows MA(1) process in R

I'd like to be sure if the following code is correct. ...
1
vote
0answers
89 views

Correlation of non-uniform time-series data?

I have two datasets of time-series data, each with arbitrary, non-linear sampling intervals. I'm planning to analyze them using either Pearson or Spearman correlation (determined by the detection of ...
1
vote
0answers
98 views

Correlation analysis

I'm trying to measure the impact that rainfall causes in the number of incoming calls in a insurance-company. I have 4 years of daily data. The plots below shown the correlation plot for each year: ...
3
votes
0answers
38 views

What type of tool/statistic should I use to inspect two misaligned time series of different granularity?

I have two separate time series, indexed by time in nanoseconds. They both measure the same thing but because they come about in two completely different ways, the number of observations they each ...
0
votes
1answer
44 views

How do you choose the timeframe for a prediction to be tested?

To (hopefully) clarify the question a bit more if you have a broad working hypothesis that x influences y, on a causal/predictive basis (e.g. if x goes up in time t, then you would expect y to go up ...
0
votes
0answers
106 views

Following measure-correlate-predict methodology

At present I am trying to teach myself the MCP method for a renewable energy assignment. For windfarm (WF) development it is necessary to correlate site measured wind data with longterm data usually ...
-1
votes
1answer
105 views

Fault causal analysis

I have some time-series data, which deal with various incidents / asset failures / faults somewhere in the network that have an effect on performance (we call them Key Performance Indicators). Now, I ...
2
votes
0answers
116 views

Computing (lagged) correlations (or similar) between multiple time-series from a VECM or its levels-VARM

Ok, after trying to find a way to get all lagged and non-lagged - correlations from multiple time-series (behavioral series with length around 180) I've confined myself to the following: I have ...
7
votes
3answers
475 views

How to find similarities between time series?

In the following example I have a data frame which consists of a time series of water temperature measurements recorded at 5 depths in the ocean where each value in ...
5
votes
0answers
128 views

Examining correlation and long range dependence in time series data with strong diurnal effects

I have data sets of network traffic that exhibit strong diurnal effects making them non-stationary. One of the analysis that I want to run is to show correlation between days. If we chopped up the ...
2
votes
2answers
785 views

Correlating volume timeseries

Consider the following graph: The red line (left axis) describes the trading volume of a certain stock. The blue line (right axis) describes the twitter message volume for that stock. For instance, ...
2
votes
1answer
342 views

Methods of measuring strength of arbitrary non-linear relationships between two variables?

What methods are there for measuring the strength of arbitrary, highly non-linear relationships between two paired variables? By highly non-linear, I mean relationships that can't sensibly or reliably ...
1
vote
0answers
307 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
votes
0answers
71 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 ...
2
votes
0answers
72 views

Detecting deviation of one time-series variable from a set of others

I have several streams of time-series data representing sensor readings that are usually closely correlated (at least in the casual usage of the term) though with different scalar multipliers applied. ...
3
votes
2answers
1k views

How to correlate two time series, with possible time differences

The question is similar to How to correlate two time series with gaps and different time bases? but with regular sample frequency and identical time base between two time series. Say I have two time ...
1
vote
1answer
217 views

Finding windows of high-correlation across coordinates in R

I've got a dataset that looks like this: ...
2
votes
1answer
246 views

How to proceed with applying concordance correlation coefficient on stock market data?

I am trying to find out if there is a relation between 5 different stock markets rates over a period of 5 years. I was advised by my supervisor to use the Concordance Correlation Coefficient which ...
4
votes
6answers
428 views

Measuring 'synchrony' with time series correlations

Question from a stats novice and StackExchange newb, an anthropologist with a computer science background. I'm looking for an appropriate statistical measure for 'synchrony' as in the following ...
9
votes
5answers
2k views

How to compare 2 non-stationary time series to determine a correlation?

I have two data series that plot median age at death over time. Both series demonstrate an increased age at death over time, but one much lower than another. I want to determine if the increase in ...
0
votes
0answers
68 views

Significance and extending simple time series correlation

Using a very simple set of data I ran a simple correlation using Google spreadsheet. I got a -.83+ correlation, which is pretty strong. So now I am wondering what else I might be able to determine. ...
1
vote
1answer
846 views

How can I calculate proportion of variance of an aggregate time-series accounted for by the variance of a sub-series?

How can I calculate proportion of variance of an aggregate time-series accounted for by the variance of a sub-series? As I'm not sure what the correct terminology is for explaining my question, I'll ...
1
vote
2answers
305 views

Adding correlation coefficients of time series

I have computed correlation coefficients for 90 day increments of a time series (i.e., one coefficient for days 0-90, 91-180, etc.). It was computationally very expensive to compute these and I would ...
4
votes
0answers
269 views

How to model time-varying correlation

Suppose I have two time-series variables, $\{x_t\}$ and $\{y_t\}$, where $t\in[1,T]$. I would like to model the correlation $\rho(x_t,y_s)$ as some function of $t$,$s$, and the difference $t-s$. In ...
1
vote
0answers
349 views

Finding correlations from multiple irregular time series

I have data from different sources that is currently in multiple data frames. They generally look something like: ...
2
votes
1answer
92 views

How do I do temporal correlations of matrices?

I have a some data like the following explaining the presence of a relation between various entities (A,B,C,...) in my system at time ...
4
votes
2answers
795 views

Mean when computing correlation between samples of unequal size

This question is in some way similar to this one, but about another nuance. I have two time series (update: stationary - with both mean and variance equal over time) with missing values in one of ...
2
votes
1answer
141 views

Statistics for multi-test replicated correlation analysis

I'm analyzing pairwise correlations of time series between two different types of microarrays done for several samples as biological replicates. So, I have M1 number of variables on type 1 array, M2 ...
5
votes
1answer
373 views

What method is used in Google's correlate?

Here is a recent Google correlate query: http://www.google.com/trends/correlate/search?e=internet+usage&t=weekly# As you can see in the search box at that link, I entered "internet usage" and ...

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