Questions tagged [cross-correlation]
A measure of correlation between different time series, at the same or different times.
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Can I do Pearson cross-correlation between two time series of Twitter data without violating the assumptions?
I have a dataset of Tweets regarding a given topic (extracted by predefined keywords and hashtags). I aggregated the Tweets in bins of time (e.g. every ten minutes) to generate a time series of the ...
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Null model for cross-correlation
I have two time series $X_t$ and $Y_t$ .
The cross-correlation at lag $\tau$ is defined as
$$
C(\tau) = \frac{\langle X_t \; Y_{t-\tau}\rangle - \langle X_t \rangle \langle Y_{t-\tau} \rangle }{\...
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Using cross correlation and an uncorrelated eigenvector basis to minimize exposure
I have the following problem:
We are looking at stock market data and have a historic price dataset $X$ with two stock types:
\begin{equation}
X = \begin{bmatrix}
x_1 & x_2
\end{bmatrix}
=
\begin{...
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Measuring level of uncorrelation from correlation matrix?
This question might not be completely well defined mathematically, but if so I am hoping that people can help point me in the right direction, since this is not a part of mathematics I have ever had ...
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Generate correlated random variables with a specific structure
Three random variables, $X_1$, $X_2$, and $X_3$, are complex Gaussian with a correlation matrix $\Sigma$. Additionally, three random variables, $Y_1$, $Y_2$, and $Y_3$, are also complex Gaussian with ...
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How do I choose parameters for WINDOW SIZE and POLYNOMIAL ORDER to calculate the detrended cross-correlation coefficient rho?
In my project I generate synthetic energy demand data using a neural network. I want to check the cross-correlation of those two time-series: the original and the synthetic one. I found, that the ...
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What does it mean for a time series to be autocorrelated?
I am trying to become more familiar with time series analysis. I am reading through Dangers and uses of cross-correlation in analyzing time series
in perception, performance, movement, and ...
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Cross-sectional dependence and second generation unit root tests
Could someone explain me in simpler terms what a cross sectional dependence and panel unit root tests does in practice? How is panel unit root tests different from any other unit root tests such as ...
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When is the sample size of the cross-sectional units N large enough to use a CCE approach in panel data?
My data set consists of time series of consumption of 4 countries, and the average temperature of each country during the time period. I know that consumption is largely dependent on temperature, so ...
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Generalizing Inverse Variance Weighting?
Consider a generalization of inverse-variance weighting, where we choose normalized weights
$w_i = \dfrac{\sigma_i^{-p}}{W_p}$ for some $p\geq 1$, where $W_p \equiv \sum\sigma_i^{-p}$.
Then $p=2$ ...
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Cross Correlation Function: How to handle an Auto-correlated response variable
I am attempting to perform a CCF analysis between a predictor time series(P_a_cm) and a response time series (delta_total_cm) which represent annual precipitation and annual water table elevation ...
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Step type correlation plot: Need to understand correlation between 2 variables
I am struggling analyzing the correlation between two variables in my experiments. It turns out that I now that when the SNR of the signal (the definition of the signal with respect to the noise) is ...
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Cross correlation between cointegrated time series
I want to test cross correlation between two non stationary time series which are algo cointegrated. I was wondering if to do this I can use the ccf command in R or if I should use another one.
As the ...
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Correlation analysis on two variables with groups
I have time series data with two variables (x,y) and labeled by user id (1-10). I want to analyze if the x and y are correlated with each other, but those two variables heavily depend on who the user ...
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Initial guess of a GARCH-DCC model?
I’m trying to fit an ECM-GARCH-DCC model for 2 time series, the whole 3 in the same time using log-likelihood estimation. It has 14 parameters to estimate:
ECM has 2 gammas and 1 lambda per time ...
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How to generalise the results of cross correlation?
Data: I have 1000 independent time series. Each of these 1000 contains two variables A & B.
Goal: My goal is to find out whether there is a statistically significant correlation between A & B ...
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Using JMP or R to find the correlation between two different time series?
Suppose I'm measuring concentrations of gas over time as well as relative humidity. How can I find the correlation between time series? The author suggests Pearson's correlation and the Cross ...
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Data setup for cross correlation analysis
I have a dataset of monthly water quality (various nutrient concentrations) and I would like to compare them to monthly climate indices (i.e. PDO, ENSO, etc.). I thought cross-correlation analysis ...
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Check correlation between labels in two set of non-binary categorical labels?
I have a dataset with ~6k data points. Each data point has two labels, both categorical (unlike measuring temperature from cold, warm, to hot, my labels in the same category is totally non-continuous)....
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Can cross-lagged model be applied to a summarized data?
just wondering if it is possible to use summarized data within a month (e.g., frequency of performing behavior A within a month to predict the frequency of performing behavior B within the next month)....
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Understanding Peaks and Valleys in CCF Results
I am new to cross-correlation and I'm running an analysis where I'm trying to see if Mentions_t can predict Calls_t at a later date (lags are in days). I got the following results and I am having ...
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Will Correlation coefficient be impacted by the magnitude of the variables at play?
I am having doubts about whether the correlation between two variables makes sense:
We have two variables we are trying to check for correlation:
monthly level of engagement of our customer base
...
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Time-lagged cross correlation between two measurements across multiple people
I have collected time-series data from a few hundred people. For each person, I have two measurements that I am interested in correlating.
Specifically, I want to identify the time point at which ...
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Cross-lagged Pearson correlation in R
I have a dataset where I have two recordings (sessions) of two different variables.
...
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Question on the 2002 Engle paper regarding GARCH-DCC model
Paper here, please open using Incognito tab: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=236998 press "Download this paper" button
Let me sum up the core of that paper in simple ...
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Testing cross correlation times series
I'm new to working with time-series, so please forgive my ignorance. I want to see if two variables are correlated over time, for which I used the ccf() function. ...
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Estimation of time-varying velocity
Objective:
Estimate the mechanical tension of a cable using the velocity of the waves travelling along it.
Experimental setup:
I have a cable in tension equipped with accelerometers. I measure a ...
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Cross Correlation Alignment for Many Samples
I have a long 30 minute noisy speech signal, which is the concatenation of 150 ten-second samples each with 2 seconds of near silence in between. I would eventually like to scale to much longer ...
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Cross correlation analysis on Bray-Curtis dissimilarity matrix with environmental variables
I'd like to use a cross correlation analysis to examine whether there are temporal lags between environmental factors and changes in ecological community structure, but I am not sure how to structure ...
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Power analysis for cross-corrleation?
I am currently planning a study in which I want to generate time-series and use cross-correlations as a statistical method. Usually I perform power analyses prior to the experiment but I did not find ...
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Cross-correlation of cumulative sum of cross-correlated random variables
Let's say we have two random variables a and b, which are correlated. Will their cumulative sums (A and B) be correlated too? I find it logical that corr(A,B) = corr(a,b). I am bit rusty in my ...
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Given a real matrix $M$, find the closest cross-correlation matrix
Say we have an arbitrary real matrix $M$. I am wondering if we can find a cross-correlation matrix that has the least square distance to $M$.
In other words,
$$\min_{A,B} \|M-A^TB \|^2_F $$
s.t.
$$...
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Name of this "cross-correlation type" quantity?
Suppose I have I have vectors $x_1,\ldots,x_m$ in $\mathbb{R}^d$, with $\|x_i\|=1$ for all $i$
Is there a name or statistical/geometric interpretation of the following quantity?
$$\sum_{ij} \langle ...
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Kendall correlation is significant but cross correlation is not significant
I have time series data and I am confused about the output of correlation and cross correlation.
This is my data:
...
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Centering in normalized cross correlation for template matching
Context
I'm following Lewis (1995) exposition on normalized cross correlation for template matching (Section 2).
The cross-correlation of the image and the feature at $u,v$ is denoted by $c(u,v)$ and ...
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What kind of statistical test might be used to if two datasets contain a non-zero lag or lead hierarchically?
I am aware of Granger causality, cross correlation, and simple methods of computing correlation at each lag/lead timestep. However, I have a dataset with 1000s of users each with a potential lag/lead ...
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Correlation within groups
I have a dataset with 200 variables. Each row of my data represents the quarter results of a company. I want to know if variable X is linearly related to variable Y.
I computed the correlation matrix ...
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Finding the vectors/modes "maximally responsible" for the fluctutation of a quantity?
I have a question which I fear might be simple but i am completely unable to figure out.
Lets say we have a time-series of a vector of coordinates which define a molecule ( column vector of x,y,z) ...
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Is vector-autoregression applicable to two series with Granger causality and cross-correlation that has multiple modes, both negative and positive?
Is the vector-autoregression applicable to two series with Granger causality or stationary series where the cross-correlation plot is negative at some parts and also positive in others?
If that's the ...
user318514
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Should one examine the cross-correlation plot to rule out performing Granger causality test?
Should one look at cross-correlation plot before performing Granger causality test to avoid type I errors?
If we can't find any dependence between two series from the cross-correlation plot, then ...
user318514
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How does the Cross-Correlation Function of these two series suggest "bove average value of SOI is likely to lead to a below average value of..."?
library(astsa)
soi= scan("soi.dat")
rec = scan("recruit.dat")
soi=ts (soi)
rec = ts(rec)
ccfvalues =ccf (soi, rec)
ccfvalues
Reproduce these ...
user318514
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Cross-correlation of multidimensional time-series and Python function for computing it
So far I know, the cross-correlation of two time-series $a(t)$ and $b(t)$ for which $N$ observations are available is given by $r^N(\tau)=\frac{1}{N} \sum_{t=\tau+1}^Na(t-\tau)b(t)$, where $\tau$ ...
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Temperature Lag calculation
I am working on a data science project on an industrial machine. This machine has two heating infrastructures. (fuel and electricity). It uses these two heatings at the same time, and I am trying ...
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Doubts with cross correlation in Python's statsmodels
I have been trying to understand statsmodels.tsa.stattools.ccf, the cross correlation between two random vectors and I tried
...
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Cross Correlation Techniques for Time Series Data [closed]
I am working with time series data and am currently using cross correlation on my data. I can use different techniques like spearman, pearson, and kendall.
I was wondering if beyond that, there are ...
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Cross-correlation seems defined backwards
Suppose $f$ and $g$ are real. Why
$$
C(\tau)=(f\star g)(\tau) = \int_{-\infty}^{\infty} f(t) g(t + \tau)dt \tag{1}
$$
and not
$$
C(\tau)=(f\star g)(\tau) = \int_{-\infty}^{\infty} f(t) g(t - \tau)dt\...
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Cross-covariance in context of Andrews plot
As shown in this Cross-Validated post
Close curves on an Andrews plot
I don't understand how, in the accepted answer, the cross-covariance can be defined as,
$$\int_{-\pi}^{\pi}f_xf_ydt$$
Considering ...
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Spatial crosscorrelation between a binary and continuous measurement on a graph
I have a graph $G$ with vertex set $V$ and edge set $E$. I measure two signals on the vertices of the graph $X$ and $Y$.
If $X$ and $Y$ are both continuous, we can measure spatial crosscorrelations ...
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Hosking test vs Granger Causality for VAR - to use or not to use?
Let's say that we have 2 stationary time series: X and Y. Granger's causality test outputs no granger causality between them, however Hosking cross-correlation test proves there is a relationship ...
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