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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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1answer
1k views

Identifying lagged effects / Distributed Lag Model

I would like to create a linear distributed lag model in order to do some forecast and also being able to interpret the results. Unfortunately I'm a bit confused with the process I should follow....
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2answers
173 views

Correlation between spatial distributions

I have three bivariate data sets of different sizes and the same sampling interval. These represent the variation of dry river bed direction with distance at equidistant sample points. When plotted ...
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1answer
18 views

Decomposition of auto correlated variable

Can the sum of two (or more) random variables with zero auto-correlations and zero cross-correlations yield a random variable that has non zero auto-correlation?
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1answer
173 views

Implementation of Shanken (1992) Adjustement for Fama MacBeth Asset Pricing Tests

I am trying to implement an unconditional asset pricing test according to the Fama & MacBeth (1973) method. The calculation of the factor-loadings as average of monthly cross-sectional regressions ...
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1answer
190 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 ...
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First historical references on auto-correlation and cross-correlation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 ...
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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 ...
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1answer
65 views

Can I perform cross correlation on non-stationary data?

I have level data which need different level of integration to be stationary. I would like to know how to perform a correlation analysis. Can I perform this on raw data or must the data be stationary?
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1answer
374 views

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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1answer
149 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 ...
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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 ...
2
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1answer
372 views

How to calculate the cross correlation between two time series measured at different instants?

I have two time series with measurements of the same type but different stations. I would like to know if the two series are correlated and how much is the "lag" between them. The idea is that in this ...
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1answer
137 views

Metric for spatial auto cross correlation?

I am trying to find anomalies in time series data with geolocations. For different time intervals, e.g. for some week or for some day or for 6 consecutive months, I want to learn whether there is ...
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1answer
362 views

What metrics can be used to evaluate similarity performance of a regression model?

I've used neural nets to learn a trajectory and the learned model is giving 'fairly reasonable' prediction when compared to my test data. My question is on evaluating this model. I've seen Mean ...
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1answer
33 views

Compare two distributions with varying focus on different regions

I have been trying to find if my problem matches has been discussed in prior research and if any technique exists to solve it. Here's the problem: Given two distributions (pdf) D1 and D2 over a ...
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2answers
171 views

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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1answer
360 views

Measuring negative correlation of time series?

Following case: We have one time-series A trending upwards. We have one time-series B trending downwards. Is there any good way to measure their relationship? Making them stationary by first ...
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1answer
3k views

Comparing time series: Pearson correlation, Kendall's tau b or Spearman's rho?

Which correlation coefficient is the most appropriate to compare 2 time series? I want to compare the variation of one variable for 2 regions, have regional data for the last 30 years. Is Pearson ...
2
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2answers
79 views

Identifying Early Indicators Time Series Analysis

I have a time series representing demand for a product which looks as follows: Clearly, this time series shows an upward trend and it's variance does seem non-stationary as well. Further, I have a ...
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1answer
258 views

Statistical test for cross-correlation

Is there any statistical test to determine that two sequence of numbers (e.g. numbers generated by uniform pseudorandom number generators) have a good cross-correlation (close to zero for all lags) ...
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1answer
130 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 ...
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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-...
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24 views

Correlation between two time series data: absolute values vs difference?

I have a dataset of different brands, their market share and retail price avg. I am trying ...
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0answers
16 views

Interpreting Normalized Cross Correlation

I'm having difficult understanding how to interpret a normalized cross correlation after using the function in Matlab for my research project. I've read through the Matlab help page and several other ...
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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. ...
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1answer
557 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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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) ...
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1answer
94 views

Tests for comparing periodicity

I have a time series question that is probably answered by these posts (1, 2) but perhaps I'm not thinking about it in the right way. I have 3 time series: $A$, $B$, and $C$. The three time series ...
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1answer
128 views

Interpretation of CCF plot from R

I am analyzing two time series, and when I used the ccf function, I received this output: I am pretty confused. I do not have too much experience with time series, but this looks weird to me. What ...
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1answer
2k views

Asynchronous (irregular) Time Series Analysis

I am trying to analyze the lead-lag between time series of two stock prices. In regular time series analysis, we can do Cross Correlaton, VECM (Granger Causality). However how does one handle the ...
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28 views

Methods to handle uneven censoring for the monitoring of composite endpoints

Suppose you are doing a cancer study and you compare progression-free survival (PFS) for two groups. A PFS event is either death or disease progression (PD), which ever comes first. People in the ...
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1answer
29 views

CCF patterns intuition

I am studying pre whitening and cross correlation functions. I read somewhere... I forgot where, that there are patterns which tell you which lags of each variable to take. In this image, lags of X ...
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163 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 ...
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10 views

correct for multiple testing on correlated data with NaNs

First of all, I'm not a statistics expert, so I hope I can describe all relevant details of my problem: I'm working with a dataset consisting of subject age (1st column), 13 ordinal scaled parameters ...
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0answers
22 views

Implementation of Hypothesis test on R² for regressions in cross-sectional setup

I am confused by the paper of Kan et al. (2013 - "Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology") which proposes the execution of hypothesis tests on R² of ...
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39 views

Considering cross correlation with timestamp

As far as I understood, to compute the cross correlation between two time series, we just consider the values of the time series, i.e, cross correlation ignores the timestamps of each data points in ...
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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 ...
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1answer
252 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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8 views

Defining error safety in cross correlation of two binary signals

I want to cross correlate two binary signals, where one is currupted by noise and shifted by a timeconstant tau, but has the same bit pattern (so basically an auto correlation). Similiar to case 2 in ...
2
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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 ...
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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: ...
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0answers
17 views

Why does cross-correlation function ccf in R have nonzero values?

When I try to compute the cross-correlation function between two vectors c(0, 0, 0, 1, 0, 0) and c(0, 1, 0, 0, 0, 0) via ...
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2answers
461 views

How to analyze correlation of multivariate time series

I have a multivariate time series with variables A, B and C. ...
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0answers
10 views

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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0answers
26 views

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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27 views

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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1answer
36 views

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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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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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 ...
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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 ...