1
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1answer
20 views

Comparing polynomials

I've got a bunch of data on pop singers' performance on the Hot 100 charts over time, and I'm trying to compare the early part of different artists' careers. For example, I might look compare Miley ...
0
votes
0answers
10 views

How to down weight correlations in my microarray analysis?

Background: I have been tasked in one part of my analysis to reproduce a method used in another study as follows in bullet points form: Microarray data from a number of time points Calculate ...
0
votes
0answers
53 views

How to develop a prediction model based on correlation in R?

I have two sets of data, say sales and profit, and I have calculated the correlation between these two data over different months using R. So currently I have ...
1
vote
1answer
45 views

Statistical methods for analysing correlation between stock price index and natural disasters

Can someone help me identify what statistical method (or any method) that I can use to correlate the effects of natural disasters on Stock Market Index?
0
votes
0answers
12 views

How to model occurrence counts in groups with latent membership?

I have a dataset that describes the daily history of occurrences of a certain phenomenon P among a certain population. (These are subdivided into certain classes or forms that the phenomenon can take: ...
0
votes
0answers
18 views

Statistical thresholds for large time-series

I am working with matrices, of the size N*M, where each cell corresponds to the Pearson's correlation between two time series. I want to threshold each matrix such that it would retain only ...
0
votes
2answers
40 views

Dynamic Time Warping for irregular time series

I have been reading a lot about Dynamic Time Warping (DTW) lately. I am very surprised that there is no literature at all on the application of DTW to irregular time series, or at least I could not ...
1
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1answer
54 views

Estimation of regression with autocorrelated errors

In a book it is written that, In regression work we typically assume that the observational errors are pairwise uncorrelated. But in most time series data , the successive residuals have tendency to ...
2
votes
1answer
67 views

Why could mean centering change results

I used centering for my variables due to multicolleanirity and surprisingly the results (from before to after centering) changed for two interacted variables; one from significantly negative to ...
0
votes
0answers
26 views

Centering vs. Standarizing which one is better? [duplicate]

Two approaches have been proposed in order to overcome the issue of multicollinearity if we have interaction variables which are mean centering and standardizing (z scores). You can check No.2 in this ...
1
vote
0answers
53 views

Is it ok to transform a logarithm variable to z score

I have a variable that has 57 kurtosis, so I decided to transform it to log. However, I have multicolleanirity problem due to interacting this variable and others with another variable so I am using z ...
2
votes
0answers
63 views

Whitening Transformation using a Hadamard product Variance Matrix

I want to whiten a vector $X$ by transforming the variance-covariance matrix so the variance-covariance matrix of the transformed series will be the identity matrix $I$. $X$ is a time-series column ...
0
votes
0answers
24 views

How do you prove that if $ X_t \sim^{iid} (0,1) $, then $ E(X_t^{2}X_{t-j}^{2}) = E(X_t^{2})E(X_{t-j}^{2})$? [duplicate]

Suppose we have a time series $X_t$ s.t. $X_t \sim^{iid} (0,1)$. How do you prove that if $ X_t \sim^{iid} (0,1) $, then $ E(X_t^{2}X_{t-j}^{2}) = E(X_t^{2})E(X_{t-j}^{2})$? Or, I guess, if ...
2
votes
0answers
23 views

What would be an ideal measure for the synchrony of laughter?

I am exploring the relationship between the quality of connection two people share and the tendency for their laughter to synchronize. In order to do this, I need some way to quantify the degree of ...
2
votes
0answers
79 views

Interpolating time series wind data using correlation

Is there a way to use correlation to interpolate missing data? I know the wind speed in 6 locations every hour. This shows the correlation between the separate locations. Hourly Data I know the wind ...
1
vote
2answers
77 views

Correlation in Time Series

I have two time series $P_i$ and $T_i$ where $i = 0...t$ Now the correlation between the time series ${\rm corr}(P,T)\sim.95$, but the correlation between the derivative of the time series ${\rm ...
2
votes
1answer
144 views

Autocorrelation of discrete time series

I am currently planning on calculating the autocorrelation for various lags given a time series. However, my elements of the time series are "discrete" and abstract classes; i.e., no integers. For ...
1
vote
0answers
34 views

find correlated regions from time series

Given two time series, the problem is to find out correlated regions (by finding out the starting and ending points of those regions). For example, in the image: , the upper time series is a stock ...
0
votes
0answers
28 views

Not getting correct lag values in output

I am using R to calculate lagged correlation. Instead of getting lag values -20 to 20, I am getting the following values: ...
1
vote
0answers
33 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 ...
0
votes
0answers
16 views

High correlation will help detect spurious regression over cointegration?

I'm analyzing two financial time series with Johansen method. A high Correlation coefficient using the Pearson method will help me to detect spurious cointegration models to avoid? If this is not ...
1
vote
0answers
40 views

How remove variations in a time series X caused by another time series Y?

I have a time series on a monthly basis (a commodity) of which much variation is caused by the weather. I want to adjust this commodity for weather changes. I use Heating degree day as a proxy for ...
1
vote
1answer
45 views

“Explaining” a time series - conceptual explanation needed

Imagine I have a time series for an animal population and a time series for a climatic variable during the same time period and at the same location. Unfortunately the data are observational (i.e., no ...
0
votes
0answers
27 views

Choosing the best time series for forecasting

I have set of time series for various days (same frequency and source). I need to choose a subset of it, and they together will forecast future values. Currently I am simply using X out of Y time ...
1
vote
1answer
66 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 ...
0
votes
0answers
22 views

Least-squares, pivoting/rotating around a reference point?

Suppose I have two datasets $y1$ and $y2$ sampled equally on $x$. I would like to bring $y2$ in register with $y1$ in a least-squares sense, and referenced to one point at $x_{ref}$ in $y1$ (i.e. the ...
3
votes
1answer
174 views

Determining the best correlated time series

Before asking, I read similar questions, but none of them lead to satisfying answers for my specific interest. I want to homogenize a climate time series of precipitation of the Dominican Republic ...
1
vote
2answers
126 views

How to determine the correlation between 2 time series while controlling for a 3rd?

I would like to determine the relationship between two variables after controlling for a third. Specifically, I want to know if the prices of mercury and gold over time are correlated with each other ...
0
votes
0answers
273 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 ...
0
votes
0answers
16 views

Serialcorrelation [duplicate]

After Regression, i ran the tests for serial correlation Durbin-Watson d-statistic( 7, 29) = .7938438 . estat bgodfrey Breusch-Godfrey LM test for autocorrelation ...
0
votes
0answers
196 views

Comparing time series: Pearson correlation, Kendall's tau b or Spearman's rho?

Which correlation coefficient is the most appropriate to compare 2 time series? I want to compare the variation of one variable for 2 regions, have regional data for the last 30 years. Is Pearson ...
1
vote
1answer
83 views

How to sum correlations, or, calculate correlation of disjointed variables

I'm trying to calculate the correlation of two variables, but the array is disjointed in the middle - but I'm trying to obtain one correlation coefficient. See the excel file I uploaded. Because ...
1
vote
1answer
103 views

PACF and ACF for AR and MA

I once heard the following statement: The PACF (partial autocorrelation function) for MA processes behaves much like the ACF for AR processes; the PACF for AR processes behaves much like the ...
0
votes
0answers
125 views

why sinusoid pattern in correlogram

Why does the ACF of an AR(1) contains sometimes a sinusoid-like pattern? and what does it mean? EDIT I think the time series is fit to AR(1). As I understand it, in an AR model, the value of x ...
0
votes
3answers
312 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 ...
3
votes
2answers
202 views

Detecting outliers using correlogram

If there is an outlier in a time series, how does its correlogram behave? Is it possible to find outliers using a correlogram? EDIT I have such a Time series: ...
2
votes
0answers
65 views

Correct approach to assessing correlation between events in time domain?

I am doing some research comparing low frequency oscillations in heart rate with palpated/observed phenomena. I am using a heart rate monitor to collect data and simultaneously asking an ...
0
votes
0answers
33 views

Autocorrelation $p^2(1)<\frac{p(2)+1}{2}$

I'm struggling with a problem how to show that stationary AR(2) process autocorrelation: $p^2(1)<\frac{p(2)+1}{2}$ My solution attempt: Because $p(2)=\phi_1p(1)+\phi_2p(0)$ and ...
1
vote
0answers
46 views

Inverse correlation of time series data

I have 3 hourly power generation data for around 600 locations for a year. (i.e. 8 data per day for 365 days for each location.) I want to find out a way where out of this 600 locations, I can say ...
6
votes
3answers
195 views

Does zero correlation between 2 differenced series implies no cointegration between original series?

The question is related to this one. In this question @mpiktas gives an answer on why checking correlation is not enough but the answer doesn't seem completely correct to me for the following reason: ...
0
votes
2answers
203 views

Non-stationary series keep close to each other but correlation between growth rates is ~0 - how is this possible?

I have 2 (monthly) time-series that look like this: Economical intuition suggests that they are positively related and I can see this on the plot but if I compute correlation between their ...
1
vote
0answers
795 views

R correlation between two time series analysis

This is my very first post on CV so comment if I can improve my post. I have two webs that sell very similar products and also have a very similar group of customers. I was trying to prove that ...
1
vote
1answer
285 views

Use correlation to compare two time series?

I have two time series data sets which contain hourly-intervalled, monthly, and yearly household electricity consumption in kWh. One data set is produced by a simulation, the other gathered from the ...
0
votes
0answers
26 views

How to model ties between two event sequences?

Context I have two processes that each emit an event at various times: ...
2
votes
1answer
102 views

Detecting the interdependence of autocorrelated sequences

It is easy enough to detect interdependence of two discrete-time white noise sequences - one just takes cross-covariance and compares it with variance. But what if both time series are "non-white", ...
1
vote
2answers
164 views

Generating random numbers based on partial correlation data

I need to generate random numbers based on already existing partial correlation data (not correlation or covariance data). Specifically, a 168*12 matrix based on a 12*12 partial correlation matrix. ...
0
votes
1answer
184 views

Finding correlation, triggers and patterns between two (or more datasets)

I am trying to find correlations between multiple data sets, for this example i am using two pieces of data, the closing stock price for Coca-Cola and Pepsi for the last year. I've been pointed in ...
1
vote
0answers
72 views

How to filter only positive correlations on R? [closed]

Is it possible to filter only positive correlations on R? The point is to make clusters of time series using the correlation as a distance measure, but without clustering the series that have ...
1
vote
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 ...
0
votes
0answers
7 views

Simularity of a set against previous sets in a time series

I was just wondering if there were any techniques I could use to do the following. I am currently running an experiment where periodically I will observe the existence of objects around me*, e.g. ...