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0answers
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?
3
votes
0answers
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First historical references on auto-correlation and cross-correlation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 ...
0
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1answer
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 ...
1
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1answer
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 ...
0
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0answers
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-...
0
votes
1answer
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. ...
0
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0answers
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) ...
0
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1answer
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 ...
2
votes
1answer
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 ...
0
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0answers
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: ...
1
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2answers
443 views

How to analyze correlation of multivariate time series

I have a multivariate time series with variables A, B and C. ...
0
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1answer
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 ...
0
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0answers
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 ...
0
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0answers
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 ...
0
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0answers
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 ...
0
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1answer
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 ...
0
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0answers
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 ...
0
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1answer
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 ...
1
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0answers
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 ...
1
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1answer
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
1
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1answer
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 ...
1
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1answer
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 (...
3
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1answer
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 ...
0
votes
1answer
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: ...
1
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0answers
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 ...
0
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0answers
285 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 ) = $\...
1
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0answers
104 views

Testing significance of Kendall and distance correlations for time series

Given two stationary time series $X$ and $Y$, is it possible to test the significance of the cross-Kendall-correlations $\tau(X_t,Y_{t+h})$ and the cross-distance-correlations $\text{dCor}(X_t,Y_{t+h})...
1
vote
1answer
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 ...
5
votes
2answers
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 ...
0
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0answers
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 ...
1
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0answers
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 ...
1
vote
1answer
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 $Z$, $\{X_j\}_1$...
2
votes
1answer
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?
1
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1answer
189 views

Log-Transform/Pre-Processing Time Series before Similarity Matching

I have ~1500 time series data representing store sales (US$). All time series are of the same size with 52 weeks of data with no NA values. For a subset of 18 specific time series, I want to find the ...
1
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0answers
92 views

detect if time series follow/lead each other

Apart from the Granger test for Granger causality, which tests whether one time series contains information to help predict the other time series, are there any methods to test if on time series lags/...
1
vote
1answer
127 views

The effect of nonlinearity trends in the data on the cross correlation

Assume we have two datasets $X$ and $Y$ and I want to evaluate the cross correlation between them. What are the effects of nonlinearity trends within each dataset? That is, are there any relations ...
2
votes
1answer
48 views

correlation of predictions and actuals

I should say that this question has nothing to do with regression. I am familar with the Sums of Squares Decomposition when there is an intercept in a regression but I'm not referring to that in this ...
2
votes
0answers
250 views

Correlation between several time series

So I have a set of around 50 time series for the same period of time, I want to determine how well correlated they are to each other (using R), I'm not an expert but what I have seen is that I should ...
1
vote
1answer
5k views

Finding Correlation between Time Series - is it a meaningless value?

I want to measure the relationship between pairs of time series over different time periods. I've been looking into correlation of time series and it seems to me that there isn't much point in finding ...
1
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0answers
29 views

What does fractional value represent for distance correlation?

I understand that if distance correlation is 1, then it's statistically dependent but independent if 0. But if distance correlation turns out to be about, say, 0.65 or 0.5 what does that mean in ...
1
vote
1answer
147 views

Correlation Between Locations

I have two data sets both matrices of latitudes and longitudes. $A = [(X,Y),(X_2,Y_2)]$ $B = [(X_3,Y_3),(X_4,Y_4),(X_5,Y_5)]$ They are of different sizes I want to calculate by how much each of ...
4
votes
1answer
6k views

What is the difference between Cross Correlation and Correlation Matrix

As the title implies I am having difficulty differentiating between the correlation matrix and the cross correlation matrix with reference to time series data. Could anyone enlighten me please? Is the ...
0
votes
2answers
83 views

How to sort multiple time-series based on “shape”?

Consider the following toy data: All prices have been normalised using $${Price_{Norm} = \frac{Price_{current} - Price_{Min}}{Price_{Max} - Price_{Min}}}$$ Item : Prices Apples : 0.0, 0.4, 0.8, ...
1
vote
1answer
51 views

Reference to equation of correlation of log-normal random variables

In another question here at Cross Validated, one user asked for the correlation of log-normal random variables. Here's the link for the question: Correlation of log-normal random variables The ...
1
vote
0answers
1k views

How to properly calculate the cross-correlation?

I'm writing a simple C program that calculates the cross-correlation between two data sets. Although I've done a good search on how the calculation should be performed, I couldn't figure out some ...
3
votes
2answers
5k views

Finding correlations between financial time series

I have a task which is related to finding correlations between time series. I have two financial time series given, which contain daily interest rate offers of two financial contributors and I want to ...
2
votes
1answer
3k views

Find correlation between two time series. Theory and practice (R)

I'm new to R, statistics and time series, so I would really appreciate any help, explanations or suggestion on good readings on the topic. I have two time series representing the number of times a ...
1
vote
0answers
162 views

Measure of association for two variables accounting for absolute values and relative difference

Setting. Two different individual characteristics, $X$ and $Y$, are measured for a subject repeatedly in time. Both variables are assumed to be continuous and non-negative. I'm looking for a measure ...
7
votes
2answers
23k views

Interpreting output from cross correlation function in R

I am working with two time series and I am interested in understanding the relationship between them. As a first step, I checked the cross correlation function (using ...
2
votes
3answers
831 views

Pairwise correlations of time series variables

I am analyzing a group of related time-series variables, and am wondering the best way to think of in-group correlations. For example, suppose that my population is daily leaf-fall for all trees. ...