# Questions tagged [cross-correlation]

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

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### auto-correlation and cross-correlation of multivariate random processes

Assume $N$ observations of a multivariate random process $X(t)$ of dimension $q$ arranged in a matrix as it follows, where each column represents a time-series and the $i$-th row is a realization of ...
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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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### Undertanding cross correlation between two time series

I am trying to understand cross correlation between two time series. The time series are just sine and cos of 40 numbers between 0 to 100. When I plot the cross correlation between these two time ...
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### Different periodical lag in two time series and different periodical correlation interpretation

I am working on two stock price movements over 2 years, a minute by minute change (over 1m rows). I ran cross correlation after making them stationary. There is a result that I am kind of confused ...
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### Detrended Cross Correlation, how sensitive is it to structural break and seasonality?

Is Detrended Cross Correlation(DCC) sensitive to structural break and seasonality? I learned that the approach is for non stationary time series, but I cannot find any information about whether its ...
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1 vote
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### Partial Cross-Correlation, and its relationship to Granger Causality?

Definitions: Granger Causality (GC): To the future of the target channel $y(t)$ fit past values of the target channel $y(t-1)$, ... $y(t-n)$ To the future of the target channel $y(t)$ fit past values ...
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### Difference between dynamic time warping, windowed cross-correlation and wavelet coherence?

I have video data with people talking with each other and I'm planning to analyse patterns of their head movements and facial expressions. I'm not very advanced in terms of statistics, so could you ...
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### Cross correlation of a time series with volatile variance

I have two time series datasets representing 2 variables(x and y)which I want to cross correlate. I'm using autoarima() in R to define the time series structure of x, but the acf plots of the ...
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### Extract the Knowledge From Time Series Dataset

I have a time series sensor data that contains lots of sensor readings from equipments and some categorical values about equipments (On/Off/Ready, etc). I have observed that one of my sensor value got ...
1 vote
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### How to compute the confidence interval of a correlation function

What is the best way to compute confidence intervals of a (cross) correlation (function value at lag time $\tau$) $c(\tau)$? Typically one estimates the value $\hat{c}(\tau)$ but the question is what ...
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### Taylor diagram on two timeseries data

I am wanting to explore the relationship (correlation) between measured data and predicted data of temperature at monthly intervals. Both sets of data are timeseries, where observation 1 of the ...
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### Statistical test for time-series lag identified via cross-correlation?

The cross-correlation (https://en.wikipedia.org/wiki/Cross-correlation) is often used to identify the presence of constant time offset between two time-series. In short, two time-series are correlated ...
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### Using a Dynamic Linear Model

I'm working on a time series project where part of it involves the analysis of two time series. When looking at the CCF plot under the call ccf(data1, data2), I note the following: A higher cross-...
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### Interpret the correlation structure and infer causation

I have a dependent variable $y$ and search for possible exogenous variables $x_i$ for $i = 1, ..., n$. One possible way is the correlation structure. I know the difference between correlation and ...
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### Interpretation of cross correlation

I need some help on the interpretation of crosscorrelation between x=credit and y=GDP, please. Here I have the results of the cc.test function in r. What I know so far, is that if the value of ...
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In a paper that I'm supposed to be deep reading the author's make the statement: "We performed a cross-correlation test among the four measures composing it and found an average cross-...
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### Do I need to have the same number of data points in both time-series for cross correlation?

For example, I have rainfall data for 30 days. But I have flood extent data for only 7 days. So do I need to create a third time series comprising of the same days for which I have flood extent data? ...
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### Is it possible to cross-correlate rainfall data and flood extent?

(I am very new to statistics and in my first year of undergrad. So I am extremely sorry if my questions sound dumb but please bear with me). Basically I want to find out whether upstream rainfall ...
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### Difference between plt.xcorr() at (1+)-lag and np.corrcoef()

I use plt.xcorr() function to plot cross-correlation between time series: ...
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### Preventing certain weights from going to 0

I would like to use a convolutional neural network to study a time series data set. I have experimental measurements taken at three different time intervals. With this I plan to create an input that ...
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### Mathematical expression for a cross-correlation matrix

Given the matrices $A_{p\times q}$ and $B_{p\times q}$ with $p>q$ the cross-correlation matrix in R is calculated as: cor(A,B) The underlaying code for this is: ...
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### Estimate correlation with mixed frequency data

I want to compare two mutual funds. I have fund A's weekly performance data. But for fund B, the data is less reliable. For 60% of the time, I can get hold of their weekly data, but other periods, ...
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### What is the formula for the cross correlation between two random vectors?

Let $\boldsymbol{X}\in\mathbb{R}^n$ be a random vector. Then \text{Cov}(\boldsymbol{X}) = E\left[(\boldsymbol{X}-E[\boldsymbol{X}])^T(\boldsymbol{X}-E[\boldsymbol{X}])\right]=E[\boldsymbol{X}\...
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### What is the best approach to modelling local time series house prices?

I have a dataset of house prices over time and have broken it down into neighbourhoods. For each neighbourhood I would like to create a time series model that captures the local price movements. What ...
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### How to test whether extreme price deviations are correlated?

I have a panel data set of the minute-by-minute OHLC (i.e. Open, High, Low, Close) prices of Bitcoin from multiple exchanges. I would like to test whether the extreme price deviations (i.e. the ...
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### Cross correlation of time series in a cluster

I have 15000 time series each of length 288 (corresponding to a sample taken every 5 minutes during a single day), and I want to group these time series by how similar they are based on shape and y-...
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### Identifying lead/lags using multivariate regression analysis

I have three time-series variables (x,y,z) measured in 3 replicates. x and z are the independent variables. y is the dependent variable. t is the time variable. All the three variables follow diel ...
1 vote
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### Cross Correlation for grouped Time Series

I have two time series datasets that take place over a period of 7 years for a few thousand areas (7 data points for each area). Which would look like: ...
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