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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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### If A and B are correlated with C, why are A and B not necessarily correlated?

I know empirically that is the case. I have just developed models that run into this conundrum. I also suspect it is not necessarily a yes/no answer. I mean by that if both A and B are correlated ...
14k views

### Cross-correlation significance in R

How do you tell if the correlations at different lags obtained from the cross-correlation (ccf function) of two time series are significant.
502 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 ...
20k views

### Interpreting CCF correlation in R

I am using ccf to find a correlation between 2 time series. I am getting a plot that looks like that: Note that I am mainly interested in correlation for the lag=0....
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 ...
6k views

### Analysis of cross correlation between point-processes

I would like an advice on a analysis method I am using, to know if it it statistically sound. I have measured two point processes $T^1 = t^1_1, t^1_2, ..., t^1_n$ and $T^2 = t^2_1, t^2_2, ..., t^2_m$ ...
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 ...
1k views

### Cross correlation influenced by self auto correlation

I have two stationary time series ts1, ts2, I wanna find the cross correlation ($\textrm{CCF}$) between them. As a result, it ...
552 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 ...
7k views

### Feature selection for time series data

I am looking for methods for feature selection (or feature extraction) for time series data. Of course I did some research before, but it was not satisfying. I am aware of methods like PCA, ...
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 ...
2k views

### Cross-correlation between two seasonal series

To determine cross-correlation between Sales and Variable cost, both having monthly seasonality, do I need to de-seasonalize ...
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 ...
13k views

### For two offset sampled data series, what is the best estimate of the offset between them?

I have 1 dimensional data series sampled at even time intervals; they are noisy but have the exactly the same (unknown) underlying curve - with one difference: they are offset in time by some unknown ...
2k views

### Comparing correlation coefficients

I have two sets of data where I have at ~250.000 values for 78 and 35 samples. Some of the samples are members of a family and this may have an effect of the data. I have calculated pairwise ...
725 views

### Does the partial version of the Cross Correlation Function exist? If so, how can it be computed?

I have been trying to look for the analogous version of the PACF for cross correlation, but there seems to be no such thing... why is this? Is it not possible to extrapolate the algorithm used to ...
8k views

### Is my time series stationary?

I am using R and have found that both KPSS ( Kwiatkowski-Phillips-Schmidt-Shin ) and the adf (Dickey-Fuller) tests indicate stationarity, having a p-value of 0.01. Here is a plot of the original data:...
439 views

### How to find cross correlation of a response variable with three independent predictor variables for time series data to identify useful lags?

I have a time series data y (response variable) which I want to predict using 3 independent time series data x1, x2 and x3. My goal is to build a multivariate regression model for which I want to ...
2k views

### Testing significance of cross-correlated series

I want to prove that, overall, signal B is correlated to signal A. I was thinking of using cross-correlation (in R) to measure this. Essentially I have two kinds of signals: signal A is a series of ...
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 ...
1k views

### Cross-correlation of two non-stationary time series?

I wish to test the cross-correlation of two time series to measure how "instantaneously related" my time series are. However, I am not quite sure if I should difference my time series first, and make ...
2k views

### MATLAB interpretation of xcorr2 cross correlation function

I have two vectors of matching lengths. They are readings from two different sensors (one is from a smartphone and the other is from a wiimote) of the same hand movement. I am trying to find the time ...
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 ...
332 views

### Determining odd time series [duplicate]

I have a number of time series which are derived of same underlying data. However, the data in each comes from a different source, so they may be slightly lagged or differently enriched but ...
1k views

### Time series and cross correlation

I have two time series: numbers of subscriptions per hours for 10 days, for a website. the time where TV ads, for a specific TV channel, have been displayed e.g. 10:25AM on Monday 12 of August, TV ...
907 views

### Cross-correlation of two autocorrelated signals (removing autocorrelation with ARIMA)

I want to get the cross-correlation of two time series x and y in R. I have calculated an ARIMA model, and I can get the ...