Questions tagged [cross-correlation]

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

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Panel unit root tests - How to determine the lag order?

I am using Pesaran's panel unit root test in the presence of cross-sectional dependence. How do I specify the lag order? I find that the results of my tests changes when I change the number of lags. ...
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Find Correlation between Grouped and Ungrouped Data

I have 2 datasets. First is a Quarter-yearly data that has PTR (Pay-through-rate) value associated with an Agent for every Quarter. The second dataset has the detailed data for Sales related to those ...
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How do you interpret results from crossCorrelation in R from spatialEco package?

I want to use the crossCorrelation function from the R package https://rdrr.io/cran/spatialEco/man/crossCorrelation.html spatialEco to examine the relationship between people's perceptions and the ...
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Regressing feature data to regression coefficients

Setup: dependent dataset Y independent dataset X independent dataset Z Idea: Frame the data and linear regress each frame : Yf = af * Xf + bf , with f=1..frames For each frame take the regression ...
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Could somebody please explain covariance to me [duplicate]

I feel kinda embarrassed to ask this question but for some reason I can't figure it out, so please help if you can My dissertation involves two stock return datasets and essentially I am testing the ...
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Transfer learning and forecasting: Are there methods to transfer learning of regressor impact on time series?

We have 3 time series namely sales time series A, time series B and sales time series C. I want to forecast A and C. B is an available regressor to A. Let's say we know that B has a negative impact ...
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Which is the error of a value corresponding to the maximum of a function?

This is my problem: I use data observed with MUSE (which is an astronomical instrument provides cubes, i.e. an image for each wavelength with a certain range, link ) to extract a measure of redshift. ...
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Is there a statistical test to determine correlation between the first derivative of two time based series?

I have two time series. They are normally distributed, parametric, exactly the same size and evenly spaced. I am seeking to determine if the rate of change of these two time series are correlated ...
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How to calculate the ccf (cross-correlation) function mannually when one time series contains NA in R?

I have two time series, for example: a = c(2, 1, 2, 1, 2, 1, 2) b = c(NA, NA, 1, 2, 1, 2, 1) ccf(a, b, na.action=na.omit, plot=FALSE) The results of ccf shows ...
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Correlation between two variables as time series with multiple samples

Main objective I have two variables ($A$ and $B$) as two time series for $n$ samples, and I would like to test if $A$ and $B$ are correlated. Let's first assume that these $n$ samples are independent ...
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Why doesn't max cross-correlation equal exactly 1 between two identical vectors with a designed-in lag? (R, ccf) [duplicate]

I have two vectors, a1 and a2. They're identical except for a certain lag: I expected their cross-correlation to have a maximum ...
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What makes cross-correlation (R, ccf) different from “sliding” one of the curves by different lags and correlating?

I have two sigmoid functions, sig1 and sig2, made with this function ...
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How to model a spatially correlated multi-variate random field of discrete variables?

Please consider you have 100 spatially distribute locations (points) that are separated 1km with each other in 2D space. Also we have three building type A, B, C that can be located in each spatial ...
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Quantify the correlation of arbitrarily sized collection of time series

Given a set $N$ of continuous time series of equal lengths, is there a metric for how well they all correlate with each other? I've considered a metric; average Pearson, $\hat{P}$, given by ...
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ACF and CCF interpretion

I plotted ACF and CCF for two time series. But, I do not know how to exactly interpret them. I want to know how and which information can be found from these plots. Can I get any coefficient from CCF ...
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Cross correlation to binary time series with stochastic noise

I have tested usual cross correlation to binary time series, where the values just mean "1" = "off" and "0" = "on" (nominal data type) and I have quite good results in finding "similarity" (see later) ...
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How to interpret a cross correlation plot?

I am trying to see the relation between Oceanic Nino Index (ONI) and Rainfall Anomaly Index (RAI). I have plotted the cross correlation plot in R ...
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How would you decorrelate a collection of vectors so that two vectors are uncorrelated?

Suppose $X_1, \ldots, X_K$ are all $\mathbb{R}^d$-dimensional random variables each with correlation matrix $\text{Var}(X_k) = \Sigma_{k} \in \mathbb{R}^{d \times d}$. Suppose we observe samples $X_{...
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Cross-correlations in digit distributions

Update on 2/29/2020. All the material below and much more has been incorporated into a comprehensive article on this topic. The question below is discussed in that article, entitled "State-of-the-Art ...
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Kullback-Leibler Divergence vs Normalized Cross Correlation

I have couple of time series data that I want to cluster. As I was looking for ways to calculate similarity for time series data, I came across couple of different similarity methods. What I am ...
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If $y = \alpha x + b$, what does it really mean that $b$ is statistically dependent with $x$ but uncorrelated?

I have received a model from my teacher (they are random complex-valued vectors): $$y = \alpha x + b,$$ where $\alpha \in \mathbb{C}$ is a deterministic scalar, $x,y,b \in \mathbb{C}^n$. My ...
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Auto-correlation vs Auto-covariance

Autocorrelation is the cross-correlation of a signal with itself, and autocovariance is the cross-covariance of a signal with itself. According to https://www.mathworks.com/help/signal/ug/correlation-...
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Looking for more subtlety in time-series cross correlation

I am looking at comparing small time-series (~5 events in each series). I want to see, firstly, how correlated the two sets are. Then, I want to introduce some "lag" into one of the series and then ...
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Why assumption of negligible cross-correlation between missing points is important for PSD estimate

In this paper they propose a method for estimating the Fourier transform (FT), and therefore the power spectral density of a time series with one or more missing points. They do this by inserting ...
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Fisher transformation

I am currently working with panel data, namely its correlations. The data is three-dimensional. I am looking for a way to aggregate the correlation coefficients. I found a model which uses the Fisher ...
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“Associative” Correlation

For 3 random variables, $X,Y,Z$ all with zero mean If $E[XY]\ne0$,$E[YZ]\ne0$ then can we say $$E[XZ]\ne0$$ Alternatively $E[XY]=0$,$E[YZ]=0$ then can we say $$E[XZ]=0$$ Or even $E[XY]=0$,$E[YZ]...
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Autocorrelation fitting algorithm

I am currently working on an autocorrelation fitting algorithm, similar to this for a gaussian spectral signal I would like to calculate parameters such as velocity and spectrum width using a finite ...
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Decomposition of auto correlated variable

Can the sum of two (or more) random variables with zero auto-correlations and zero cross-correlations yield a random variable that has non zero auto-correlation?
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First historical references on auto-correlation and cross-correlation

Although the origin of Pearson's correlation coefficient is well documented (see wikipedia), I have trouble to find some of the first and historical papers introducing the motivation, the benefits and ...
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Can I perform cross correlation on non-stationary data?

I have level data which need different level of integration to be stationary. I would like to know how to perform a correlation analysis. Can I perform this on raw data or must the data be stationary?
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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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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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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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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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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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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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590 views

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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