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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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How to analyze correlation of multivariate time series

I have a multivariate time series with variables A, B and C. ...
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Checking auto correlation and cross-sectional dependence of a variable

I have a variable consisting of a sample panel of 500 ids and 120 timestamps. I want to assess whether there is any auto correlation and cross-sectional dependence for this variable. Please suggest ...
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ARIMA predictors - clarification

I'm working on multivariate time series (still), and would like some clarification. I was reading this site: Duke Forecasting and I came across this statement: "We see that the most significant ...
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Lags in Cross-Correlation function

Having the following CCF from the residuals of 2 modelled series, which lags should be taken into account to explain how positively or negatively $x_t$ and $y_t$ are correlated? Zoom out
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Interpreting Cross-Correlation Function betwen residuals of ARIMA-SARIMA models

I've seen several posts this week around this topic, but I cannot find a right answer, probably because time series is something very artisan! I'm doing a task about finding causality between surface ...
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Quick test for significant difference in portions (and mean/average) between several group and likelihood?

I have a number of demographic and economic variables – both categorical and continuous – for a few different groups, one is a subset of the other. Estimates derive from IPUMS microdata from which I ...
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28 views

When is it reasonable to assume that the covariance matrix is positive definite?

I know that any covariance matrix must be positive semi-definite, but are there any regimes where it is reasonable to assume that covariance matrix is postive definite. I want to use this to be able ...
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Dynamic transformations on an inferred time-scale [duplicate]

Sorry if this is a duplicate, I have limited knowledge on data science, so I don't know the correct terms to look for and don't know if there's already an answer out there. I have two datasets which ...
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Cross Correlations Reversed - SPSS and R

I'm wondering if anyone else has noticed that cross-correlations are reversed between SPSS and R. Here is an example of the exact same data run in both R and SPSS (V23). Note how the the axis is ...
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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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24 views

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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78 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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28 views

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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115 views

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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39 views

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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158 views

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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19 views

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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1answer
339 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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1answer
36 views

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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1answer
32 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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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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286 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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227 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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172 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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1answer
61 views

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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85 views

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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1answer
84 views

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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114 views

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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21 views

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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164 views

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 ) = $\...