Questions tagged [cross-correlation]

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

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Correlation between two distances (distance matrixes)?

Premise: I have a dataset of elements for which I have a representation in 2 different spaces, a "latent" space and the original space (I can move between those with an Autoencoder neural network). I ...
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Identifying Early Indicators Time Series Analysis

I have a time series representing demand for a product which looks as follows: Clearly, this time series shows an upward trend and it's variance does seem non-stationary as well. Further, I have a ...
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103 views

Dynamic Time Warping vs Cross Correlation

Consider the following data frames: > df1 value 1 6 2 2 3 3 4 1 > df2 value 1 3 2 8 3 4 4 5 I want to find the ...
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Bayesian Comparison of Dependent Correlation Coefficients

I would like to compare the correlation coefficients from two different models of the same data points. One of them is the raw bivariate data (Value vs Time), and the other is given a biologically-...
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Correlation between two time series data: absolute values vs difference?

I have a dataset of different brands, their market share and retail price avg. I am trying ...
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13 views

Interpreting Normalized Cross Correlation

I'm having difficult understanding how to interpret a normalized cross correlation after using the function in Matlab for my research project. I've read through the Matlab help page and several other ...
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Comparing Numerous Macroeconomic Time Series in R with Varying Stationarity

I have a TS object in R with 78 variables. These all represent different macroeconomic indicators. The last variable is a balance of some kind that I want to compare each of these indicators. ...
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Finding related variables

I have read this and this question, but non of them answers my question properly. I am not very familiar with concepts of stat, so please bear with me. I have 2 types of variables, type A (circles) ...
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84 views

Interpretation of CCF plot from R

I am analyzing two time series, and when I used the ccf function, I received this output: I am pretty confused. I do not have too much experience with time series, but this looks weird to me. What ...
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Methods to handle uneven censoring for the monitoring of composite endpoints

Suppose you are doing a cancer study and you compare progression-free survival (PFS) for two groups. A PFS event is either death or disease progression (PD), which ever comes first. People in the ...
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28 views

CCF patterns intuition

I am studying pre whitening and cross correlation functions. I read somewhere... I forgot where, that there are patterns which tell you which lags of each variable to take. In this image, lags of X ...
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correct for multiple testing on correlated data with NaNs

First of all, I'm not a statistics expert, so I hope I can describe all relevant details of my problem: I'm working with a dataset consisting of subject age (1st column), 13 ordinal scaled parameters ...
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Implementation of Hypothesis test on R² for regressions in cross-sectional setup

I am confused by the paper of Kan et al. (2013 - "Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology") which proposes the execution of hypothesis tests on R² of ...
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Considering cross correlation with timestamp

As far as I understood, to compute the cross correlation between two time series, we just consider the values of the time series, i.e, cross correlation ignores the timestamps of each data points in ...
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25 views

Autocorrelate relative difference between two time series

I would like to verify the similarity of two time series. So far I have resampled and interpolated one time series, so that the two have synchronous time. Next I have computed the relative difference ...
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Implementation of Shanken (1992) Adjustement for Fama MacBeth Asset Pricing Tests

I am trying to implement an unconditional asset pricing test according to the Fama & MacBeth (1973) method. The calculation of the factor-loadings as average of monthly cross-sectional regressions ...
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Defining error safety in cross correlation of two binary signals

I want to cross correlate two binary signals, where one is currupted by noise and shifted by a timeconstant tau, but has the same bit pattern (so basically an auto correlation). Similiar to case 2 in ...
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How to test significance of vector with correlation coefficients

I am new to R so please apolozige if I should use wrong terms etc. Let's say I investigated married couples as subjects, and (amongst other) tested if their amount of consumed alcohol is correlated ...
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Correlation fails on high sampling rate vector

I am trying to find the time shift between two vectors. My function succeeds on randomly generated vectors, but fails on small shifted, high sampling rate vectors. my code: ...
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Why does cross-correlation function ccf in R have nonzero values?

When I try to compute the cross-correlation function between two vectors c(0, 0, 0, 1, 0, 0) and c(0, 1, 0, 0, 0, 0) via ...
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How to analyze correlation of multivariate time series

I have a multivariate time series with variables A, B and C. ...
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Checking auto correlation and cross-sectional dependence of a variable

I have a variable consisting of a sample panel of 500 ids and 120 timestamps. I want to assess whether there is any auto correlation and cross-sectional dependence for this variable. Please suggest ...
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ARIMA predictors - clarification

I'm working on multivariate time series (still), and would like some clarification. I was reading this site: Duke Forecasting and I came across this statement: "We see that the most significant ...
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1answer
35 views

Lags in Cross-Correlation function

Having the following CCF from the residuals of 2 modelled series, which lags should be taken into account to explain how positively or negatively $x_t$ and $y_t$ are correlated? Zoom out
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Interpreting Cross-Correlation Function betwen residuals of ARIMA-SARIMA models

I've seen several posts this week around this topic, but I cannot find a right answer, probably because time series is something very artisan! I'm doing a task about finding causality between surface ...
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Quick test for significant difference in portions (and mean/average) between several group and likelihood?

I have a number of demographic and economic variables – both categorical and continuous – for a few different groups, one is a subset of the other. Estimates derive from IPUMS microdata from which I ...
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31 views

When is it reasonable to assume that the covariance matrix is positive definite?

I know that any covariance matrix must be positive semi-definite, but are there any regimes where it is reasonable to assume that covariance matrix is postive definite. I want to use this to be able ...
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Dynamic transformations on an inferred time-scale [duplicate]

Sorry if this is a duplicate, I have limited knowledge on data science, so I don't know the correct terms to look for and don't know if there's already an answer out there. I have two datasets which ...
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Cross Correlations Reversed - SPSS and R

I'm wondering if anyone else has noticed that cross-correlations are reversed between SPSS and R. Here is an example of the exact same data run in both R and SPSS (V23). Note how the the axis is ...
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Causality logic appears reversed. What's the explanation?

In reading Detecting Causality in Complex Ecosystems I came across the following passage: Our alternative approach [...] tests for causation by measuring the extent to which the historical record ...
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A tool to find cross-correlations between large set of metrics

Given a table with hundreds of records each with the same number of factors (about 1000), I would like to be able to produce a report that shows which factors self-correlate in pairwise fashion or in ...
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Prediction of financial time series

I have several questions. I will split the text up in one high-level description of the goal of my exercise, a detailed description of my potential solution and finally my actual questions. Please ...
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70 views

intervention analysis on several time series samples where intervention occurs at different times

I have quarterly sales data for ~80 products spanning 4 years. I also have 16 different external interventions, where one or multiple of them have occured on the products on different dates during the ...
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155 views

Using non-stationary time series in cross-correlation analysis

I have modelled organism dynamics and abiotic factors time series in order to understand their seasonal oscillation and trend over time. Now I want to identify if there are any correlation between ...
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119 views

Cross correlations

I have a question about cross correlations and multivariate time series. I've read several articles and posts on SE about how to properly prewhiten data for cross correlation of two time series, and ...
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If I recover VAR model coefficients from PCA-derived coefficients, do I need to ensure that the model has zero cross-correlation in the residuals?

I am investigating how to appropriately combine PCA with VAR modeling. I am using PCA to reduce the number of vars I fit to a VAR model, and am attempting to recover the non-dim. reduced coefficients ...
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XY Graph from two time signals

I have two measurement signals (let's say a voltage signal and a current signals), both with timestamps and corresponding values. The timestamps of the two signals doesn't match up and aren't evenly ...
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Cross Correlation

Given that my variables exhibit non-stationary (i.e lrgdp and lop) and I intend on estimating a VAR model, would it make sense to correlate them in their first differences instead (dlrgdp and dlop) ...
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346 views

Normalised and “Normal” Cross Correlation giving different lag positions

Using numpy's np.correlate() am trying to find the lag position of two data sets of different length. When I use this operation by its own I find a lag position ...
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48 views

Shifting Data So That When Cross Correlated Lag position is 0

Using Numpy, I am cross correlating two large data sets (of different lengths), as part of a method to compare the similarity of the data. However to take the data onto the next step of the comparison ...
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what are cross correlations and why these cross correlations provide spurious results if two series are integrated?

I am much confused in CCF and how these provide Spurious results and why? Can any one help me. I'll be much thankful.
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Comparing two groups of time series correlation coefficients?

I have two groups of data, each consisting of 100 correlation coefficients. I am interested in essentially seeing if the correlations in group 1 are stronger than group 2. However, I am unsure of the ...
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Is cross-correlation the appropriate tool to estimate delay between two measurements?

In an industrial installation, there is a pipe containing a continuous stream of product A. The temperature of product A is measured at sampling point 1, every hour. It is also measured a bit ...
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391 views

Preparing data for cross-correlation time series

I have several data sets with air quality measurements for 20 locations. The measurements were done per second over a period of two weeks, 5 locations per period (because there were only 5 instruments)...
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195 views

Can you do LASSO with panel data that has cross-correlated errors?

suppose that there are observations of stocks return for firm i in 1..N date of observations t in 1..T The error structure is such that cov(epsilon_it,epsilon_jt) are far from zero. An important ...
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To standardize or not to standardize in cross correlation

I am new here. My question is simple. Why doesn't the definition of cross-correlation between two time series include a mean centering? Wikipedia defines the cross correlation of two functions as the ...
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Cross Correlation between two RVs and PCA

What is the difference between the maximum value of cross-correlation value of RVs X, Y and maximum eigenvalue of Covariance matrix of these same RVs X and Y? Are both same and just represents the ...
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70 views

Correlation of time-series at specific timestamp

Suppose, I have several hundred time series that are originating from one system and probably correlate. Now suppose, one of the signals, lets say signal A, shows strange behavior at several ...
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Comparison of two correlations

I want to correlate stock price of one company and stock indice, taking the price at the end of the day for a period of six years. After that, I want to compare the link for two time series, non ...
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238 views

What is the difference between cross correlation and persons r correlation for two different signal?

What is the difference between cross-correlation and pearsons r correlation for two different signals? It will be very grateful if somebody explains with an example