Questions tagged [cross-correlation]

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

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how to get total Fisher matrix that makes cross synthesis of 2 Fisher matrix

I have initially posted on physics.stackexchange but I think my issue is more adapted on Cross-Validated (so I am going to delete the initial post on physics.stackexchange). I have 2 Fisher matrixes ...
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Cross correlation between sequences of events

If I have a Poisson-like process generating events at times $T=\{t_0, t_1, ..., t_n\}$, and two different derived sub-sequences $X$ and $Y$ such that: For all $x\in X$ then $x\in T$. For all $y\in Y$ ...
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Interpretation of CCF plot

I am using ccf on two univariate time series to find out which variable is leading and which is lagging. My result is something like shown in the plot Can I really tell anything from this plot? Does ...
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Methodology of cross-correlation of two time series

I have two time series. They are the same length of 3 years and each with one variable. I want to know if the two time series are correlated at a certain time point - 1 month, 2 month, 3 months etc. ...
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Estimate the delay between two signals

I have two voltage time series from two sides of a battery with 20 seconds resolution. The signals are non-periodic and voltage2 is usually half the ...
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Selecting study design ( and tests) to precise the optimal interval of checkups of engine to prevent engine major failures

I'd like to get your advice on how to select methodology and plan database variables (skeleton ) to conduct a retrospective research. there are around 60 engines, they can have major failure (main ...
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Prediction model of test scores based on subjective assessment

I am trying to build a model where I want to measure the accuracy with which supervisors can predict the outcome of test taker's scores. For example, supervisors rate test taker's subjectively before ...
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37 views

Time Series Multivariate Forecasting

I am building a time series forecasting model in which I am considering the macroeconomic indicators as predictors.I wanted to understand 3 things How do I generally go about feature selection for my ...
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No apparent relation between two time series data

I have two time series data and I want to understand relationship between them for my a data science project that I am currently working on. The time series plots are given below : The plot of 1-...
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Time delay detection in time series

I'm trying to align series of weather data. I have two temperature and pressure sensor which in some time periods has been shifted by some time. Example data with offset equal to -600min I need to ...
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How to correctly pre-whiten time series

I'm trying to find cross -correlation between two-time series and as it so happens, they are auto-correlated(2), nonstationary and co-integrated. As I read about them, it appears that pre-whitening ...
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Correct process to find cross correlation between two time series step by step

I have two time series dataset, of which I have two variables Error_Count and Bookings_made for a duration of 33 months. I wish to find if and how strong/weak is the correlation between these two ...
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Time-series with non-synchronous trends. Any recommendation?

Could you please help me with good approaches for non-synchronous time-series events? I have the following scenarios: Time series data with number of events in a month (For instance: Medical events ...
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Summing Differently-Distributed, Correlated Random Variables

I have four mutually correlated time series. Each contains 40 observations but is fundamentally and decisively differently distributed from its peers. The first series follows a Laplace distribution, ...
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Is there a way to evaluate the performance of cross correlation model in R?

I am trying to test the effect on the heat flux between indoors and outdoors before and after removing insulation. ...
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Multivariate time series vs panel data vs?

Apologies for the clunky question, I'm just looking for recommendations for the type of model I should be looking into. I can do the research from there, I just don't even know what to look up at the ...
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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 teacher ...
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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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166 views

“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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670 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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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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