1
vote
0answers
25 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
38 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
20 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
35 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
13 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 ...
2
votes
1answer
116 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
100 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
119 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
107 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
57 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 ...
0
votes
0answers
58 views

PACF and ACF for AR and MA

I once heard the following statement: ...
0
votes
0answers
80 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
139 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
153 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
47 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
42 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
154 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
177 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 ...
0
votes
0answers
376 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
238 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
95 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
143 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
122 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
55 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
99 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
195 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 ...
1
vote
1answer
285 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
78 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
87 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 ...
7
votes
1answer
477 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
56 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 ...
0
votes
0answers
95 views

Temporal correlation of a discrete signal

I have a physical signal (for example, Temperature, Humidity) which is sampled at discrete times. I wanted to know how to ...
0
votes
0answers
17 views

I wish to compare the means between timepoints but the participants are not neccesarily the same people

This is an exploratory study of a population previously not investigated. The study was prospective AND cross-sectional. I am using SPSS to analyse but am stuck at this point as my sample doesn't ...
2
votes
0answers
48 views

How to compare the accuracy of predictive algorithms when the predicted value contains measurement error

I am conducting (somewhat casual) research on the accuracy of several algorithms meant to compute a value when given a set of experimentally gathered variables, including time. The issue is, the true ...
2
votes
1answer
42 views

Correlation based on one object

Background: I have two random variables - height and weight. We often estimate correlation between them based on random sample of individuals. However, what would happen if I took only one individual ...
4
votes
0answers
107 views

Chart for seeing trends, correlations, triggers and patterns

I've scraped a set of data, and I was wandering what the best way to start analyzing it was. My initial thoughts were to use a multi y axis graph, like this: The reason I was thinking about a ...
3
votes
1answer
245 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
114 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
132 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
86 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
106 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
75 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
660 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 ...
7
votes
2answers
534 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
261 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
56 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 ...