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Questions tagged [cross-correlation]

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

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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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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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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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66 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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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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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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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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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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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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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
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How to measure correlations in psudo-random datasets?

I have two datasets with millions of y-values. (They are in chronological order so the X values have been omitted as they become merely an index.) ...
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How to calculate correlation of bit list

I have 5 data streams of seemingly random bits, only 0's and 1's that I need to calculate the correlation between. The datastreams are seemingly random because I should have the same number of 0's ...
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211 views

Which test for lagged effect of one time series on another?

I have a data set with three variables: year (21 consecutive years) and two time series which are count data (count1 and count2). I want to know whether count2 correlates with some time delay lag with ...
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Comparing dependent correlations

I have a simple single-group pre-post design and have Pearson correlations for performance and self-report for both times of measurement for each participant that I would like to compare. Would using ...
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31 views

Which test should I use to determine a relationship between Social media activity and calls booked from activity?

We run a business and I am trying to calculate the worth of spending time on our social media groups to book calls with potential clients. I have a list of social media activity for the last 60 days (...
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Cross-correlation Techniques

I know that cross-correlation is a measure of similarity, but are there different techniques that can be used to do so? What kind of cross-correlation techniques do exist?
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Best correlation statistic between volatile line graphs created from moving average?

I am new to the world of statistics, and would appreciate some help with this basic question: I am plotting line graphs of moving-averages, and there is a pretty clear correlation with the blue and ...
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Cross correlation looks like an autocorrelation

I am cross correlating ambient noise data from stations that are 10km apart. The output was an autocorrelation instead of a cross correlation. What could be the reason for this?
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Cointegration vs high cross-correlation in pairs trading

My econometrics professor once said that “trading two cointegrated series is a profoundly different thing than trading two highly correlated series”. What was he referring to and what are the ...
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Calculate correlation between two time event series

I have two event signals, A and B, over time. For both signals, the value at time t represents the number of occurences of the event at that time. Now I want to determine if either events, A or B ...
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193 views

Correlation of non-stationary time series

I am looking at finding correlations between house price time series and the time series of multiple indicators in an area. For example These two trends clearly show a sort of strong negative ...
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154 views

What is the Identity of a convolution layer in a Neural Network?

I wanted to know what the identity of a convolutional layer of a neural network was. For standard convolution operation in mathematics the identity is the delta function, however, convolutions in ...
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Chance cross-correlation based on the distribution of values

I have two variables which I would like to assess their cross-correlation, and see whether their correlation coefficient is above chance-level. I am unable to assume normality of my distributions. ...
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107 views

Interpretation of logistic regression with normalized features

With logistic regression, a one unit change in $X_1$ is associated with a $\beta_1$ change in the log odds of 'success' (alternatively, an $\exp(\beta_1)$-fold change in the odds), all else being ...
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How to obtain a single indicator from a correlation matrix of 6 or N variables?

The problem that I will like to ask is the following. In the problem each cross-correlation matrix represent a different state (M states), with N different variables (in my case 6). For each state ...
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Time series correlation between industry and MSCI ACWI index

I have daily return data of 11 sectors of MSCI World Index and the MSCI ACWI index. I want to know the stationarity of correlations between the sectors and MSCI ACWI index. This is what I have done: ...
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Are Data Transformations Necessary in Multiple Linear Regression (Lagged Independent Variables) and Time Series Analysis?

I created a regression model on lagged independent variables (monthly data) for the past 4 years. Essentially, after transforming the data to make it stationary I used the ccf plot in R to determine ...
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Study of Correlation between two variables (bond lenghts) which are strongly affected by a third one (temperature)

In a Molecular Dynamics simulation, I have the time series of a couple of distances between pairs of atoms, d1 (distance between atom A and B), and d2 (distance between other atoms C and D). I want to ...
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covariance matrix vs correlation matrix for multiple signal analysis

I'm dealing with a set of +100 input signals, and one output. I want to explore how each of the signals affects the output. Should I focus on covariance matrix, or correlation matrix, and why? I ...
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Is cross-correlation valid for time-series such as these (with trends)?

I have lots of pairs of timeseries e.g.: I am trying to get an idea of how correlated they are (the black fit lines rather than the data themselves). I thought that one way to do this would be to ...
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Difference between cross-correlation and Pearson / Spearman

I'm trying to find the best way to look for common trends in 10 time-series that I have. I'm confused by what I'm reading regarding the best way to go about this. I see people talking about the ...
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Finding common trends in time-series

I have a 10 relatively noisy time-series. I want to check if there are any similar trends in the 10 sets. My simple way of initially looking would just be to cross-correlate each time-series with ...
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PCA and correlation between observed variables and principal components

In principal component analysis, the correlation between the i-th principal component ($y_i$) and the random vector of observed variables x (of dimension $p$) is defined as: $corr$( $y_i$ , x ) = $\...
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cross correlation and t tests

I have two time series data from two machines arranged sequentially ( machine 1 output goes is machine 2 input) . I wanted to compare the mean utlisation of these machines and see which one is higher ...
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How can I generate cross-correlated vectors? [duplicate]

I was doing some simulations to see how the behaviour of a certain test statistic changes under different situations (under $H_1$), and I want to simulate, let's say $m$ cross-correlated vectors. How ...
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“Fuzzy” but simple and elegant similarity measure for time series

I am looking for a similarity measure between series which exploits the time dimension (rather than just its "mapping" aspect), and was unsatisfied with everything I found. First an example: assume I ...
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How to measure distribution of values (e.g. location of dots on a line) in two groups?

Let's say I have 2 lines of equal length with dots on them. Each dot has a position (number). How can I measure if the distribution of these dots correlates (i.e. presence of hot spots or gaps without ...
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43 views

Computing time-shifted cross-correlations using tsa (vector autoregressive) VAR model in Python as well as analyze regression coefficients

I have multivariate (100 variables) time series, and I have obtained regression coefficients using statsmodels' vector autoregressive (VAR) model. Also, I have computed cross-correlation manually ...
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In prewhitening, should we develop an ARIMA(p,q,d) for X but use only ARI(p,q) as the filter?

According to the answer in this question by IrishStat, the reason that you pre-whiten X is to identify a filter that can transform Y and X into y and x where x is white noise. Assume that X is ...