We’re rewarding the question askers & reputations are being recalculated! Read more.

# All Questions

104 questions
Filter by
Sorted by
Tagged with
6 views

### Decomposition of auto correlated variable

Can the sum of two (or more) random variables with zero auto-correlation and zero cross-correlation yield a random variable that has non zero auto-correlation?
11 views

### First historical references on auto-correlation and cross-correlation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 ...
20 views

### 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 ...
126 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 ...
11 views

### Bayesian Comparison of Dependent Correlation Coefficients

I would like to compare the correlation coefficients from two different models of the same data points. One of them is the raw bivariate data (Value vs Time), and the other is given a biologically-...
37 views

### 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. ...
27 views

### Finding related variables

I have read this and this question, but non of them answers my question properly. I am not very familiar with concepts of stat, so please bear with me. I have 2 types of variables, type A (circles) ...
25 views

### Autocorrelate relative difference between two time series

I would like to verify the similarity of two time series. So far I have resampled and interpolated one time series, so that the two have synchronous time. Next I have computed the relative difference ...
45 views

### How to test significance of vector with correlation coefficients

I am new to R so please apolozige if I should use wrong terms etc. Let's say I investigated married couples as subjects, and (amongst other) tested if their amount of consumed alcohol is correlated ...
4 views

### Correlation fails on high sampling rate vector

I am trying to find the time shift between two vectors. My function succeeds on randomly generated vectors, but fails on small shifted, high sampling rate vectors. my code: ...
443 views

### How to analyze correlation of multivariate time series

I have a multivariate time series with variables A, B and C. ...
31 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 ...
38 views

### 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 ...
8 views

### 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 ...
44 views

### 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 ...
56 views

### 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 ...
44 views

### 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 ...
75 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 ...
28 views

### 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 ...
249 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
44 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 ...
35 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 (...
555 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 ...
82 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: ...
92 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 ...
285 views

504 views

### Testing significance of correlation between time series [closed]

I would like to know if there are some methods (or better, some statistics or even better, some R functions) like in https://en.wikipedia.org/wiki/Pearson_correlation_coefficient#Inference or in the R ...
634 views

### Why is the correlation coefficient a limited measure of dependence?

To quote Kevin Murphy in his book "Machine Learning - A probabilistic perspective", correlation is "a very limited measure of dependence". He talks about this before he introduces the concept of ...
48 views

### How to quantify correlation between two non-Gaussian AR(1) time-series?

I am trying to understand the need for lateral transshipment within the same echelons in our supply-chain. Lateral transshipment would be more helpful if the stock-levels at two stocking-points are ...
128 views

### Cross-correlation (time-lagged correlation) for binary variables

I am looking at two time-series, one is continuous and somewhat stationary, and the other one is very sparse with lots of 0's and a few 1's. Does the traditional Cross-correlation function still work ...
153 views

### How to find a set of parameters that maximize the correlation between two sets?

I have a dataset $\{Y_i\}$, and a set of datasets $\{\{X_j\}_Z\}$ that depend on $Z=1,2,\ldots,26$ (and $j_{max}=100$; $i_{max}=26\times 100$), meaning that there are sets, numbered by $Z$, $\{X_j\}_1$...
133 views

### What is the difference between correlation and cross-correlation?

Skimming through scientific papers I bumped into both correlation and cross-correlation. How similar or different are these two concepts?
189 views