0
votes
1answer
10 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
vote
1answer
17 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
59 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
46 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 ...
1
vote
0answers
56 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
21 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
22 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
68 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
62 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
116 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
33 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
27 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
30 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
43 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
25 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
62 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
21 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
163 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
123 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
239 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
174 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
80 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
86 views

PACF and ACF for AR and MA

I once heard the following statement: ...
0
votes
0answers
118 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
278 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
200 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
60 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
187 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
196 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
693 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
273 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
101 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
161 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
171 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
70 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
113 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
6 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. ...
1
vote
2answers
225 views

How to determine correlation between stationary and non-stationary time series

I have three time series of economic data based on quarterly observations; A, B and C, and I would like to ascertain the correlation (or not) between A and C as well as the correlation between B and ...
2
votes
1answer
432 views

AR(1) coefficient is correlation?

Is the ar1 coefficient from an AR(1) model the "first order correlation of the noise" of a time series? I'm using R's aws package and one of the arguments of the ...
3
votes
0answers
84 views

Averaging Correlations

I am working with patient experience data where patients answer questions regarding their stay at the hospital. Each question is then given a correlation value as it relates to the final "overall ...
1
vote
1answer
96 views

Predict near future data from another correlated data source that varies quicker

I'm trying to figure out a way to predict the evolution of some data in the near future by using another data source that is correlated to that one but that varies quicker. For instance, I have the ...
8
votes
1answer
661 views

Definition of autocorrelation time (for effective sample size)

I've found two definitions in the literature for the autocorrelation time of a weakly stationary time series: $$ \tau_a = 1+2\sum_{k=1}^\infty \rho_k \quad \text{versus} \quad \tau_b = ...
2
votes
0answers
62 views

How to test for Pearson correlation when one variable is fixed on date?

I have 4 groups of different respondents, each group surveyed on four different dates (points of time). All respondents have answered a psychological questionnaire related to their perception of death ...