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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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Repeated-Measurements Analysis with Cross Correlation

I am trying to find the cause-and-effect relationship between water release from dams and downstream temperature. I have a data frame containing all of the temperature measurements from various sites ...
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R/mgcv: GAM where some dependent variables are function of each other

I am trying to create a model using mgcv of an explanatory variable based on multiple other variables that are cross-correlated, and have high concurvity. Essentially, I want to explain a gas flux ...
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Time Series Analysis without Forecasting

I have a dataset consisting of daily comments in a social media platform from 1999 to 2024. The comments are categorized into two variables: X and Y. The X variable is also categorized into 5 sub-...
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Controlling for multilevel structure CLPM

I want to run an CLPM and have some questions regarding the clustered structure (school classes) of my data. I learned that centering can account for the nested data structure, but it is only ...
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Causality analysis in time series

I'm trying to do a time series analysis, but I'm new to this topic and I need help. I have a multivariable time series and I would like to do an analysis of the relationship between them. I have done ...
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Bootstrap method with 2 Fisher matrices in order to do the cross-correlations between both

I have 2 Fisher matrices where each colum/row represents the information (in Fisher's sense) of astrophysical parameters. These parameters are in the same order for both matrices. Now, I would like to ...
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Cross correlation between time series

I have to measure the cross-correlation between different time series in my dataset. The dataset contains 9358 instances of hourly averaged responses from an array of 5 metal oxide chemical sensors, ...
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Standard Error of a Mean of Standard Errors

I'm looking at a panel of observations where, for each column (15 sets of Y) in time series, I'm running individual OLS's to estimate each slope against a common (1) X variable. I now have the 15 ...
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How to understand random time effect

I am reading a slides about correlated random effects here. The baseline model is $$ y_{it} = \eta_t + x_{it}\beta + c_i + u_{it} $$ In page 5, it assumes that we randomly draw sample $i$ from the ...
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Methods for comparing degree of structural coupling between two time series

I have two arrays, one representing an auditory stimulus and the other representing neural activity from auditory cortex. The auditory stimulus has known temporal and spectral structure. The neural ...
user90664's user avatar
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Looking for an efficient way to calculate the correlation of different time series

I have 6 temperature sensors (columns) located at different places. Each one offers a measurement each hour. I have $168$ measurements (rows). I am working on python and I have already used the ...
slow_learner's user avatar
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GLS when error covariance matrix depends on regression coefficient

My data is a pair of points (x1, y1) & (x2, y2) [Just in case it's relevant, I explain how the data is created at the end]. I know how the data points are correlated. For a GLS (generalized ...
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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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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 ...
Good Question's user avatar
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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 ...
BioPhysicist's user avatar
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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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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 ...
Jerem Lachkar's user avatar
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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 ...
ManagerHonest2833838's user avatar
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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)....
user380201's user avatar
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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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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 ...
socialresearcher's user avatar
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Cross-lagged Pearson correlation in R

I have a dataset where I have two recordings (sessions) of two different variables. ...
Inkling's user avatar
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Correlation by group and test for significant

My data has the following form: ...
PTQuoc's user avatar
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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 ...
Jerem Lachkar's user avatar
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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 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 ...
Orestis's user avatar
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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. $$...
CWC's user avatar
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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 ...
Yaroslav Bulatov's user avatar
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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: ...
yhw2b2d's user avatar
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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 ...
Simón Ramírez Amaya's user avatar
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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 ...
Jack Brookes's user avatar
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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 ...
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2 votes
1 answer
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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 ...
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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 ...
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1 vote
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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 ...
David's user avatar
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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 ...
devman3211's user avatar
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63 views

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 ...
WorseThanEinstein's user avatar
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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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