Questions tagged [cross-correlation]

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

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Gaussian Process Optimization Package in R

Many Gaussian process packages are available in R. For example there is $\textbf{BACCO}$ that offers some calibration techniques, $\textbf{mlegp}$ and $\textbf{tgp}$ focusing on treed models and ...
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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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545 views

How to estimate the percent of the variation of a time series explained by another time series (non-stationary)?

I've been learning about time series analysis because I want to understand how much groundwater level changes in an aquifer affect land subsidence (land sinking). I have two time series: (1) ...
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First historical references on auto-correlation and cross-correlation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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126 views

polar analog of cartesian cross-correlation function

Background: The cross-correlation function, wrapped in frequency domain convolution, is used in particle image velocimetry to allow sub-pixel metrology. It is also used in convolutional neural ...
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416 views

(Cross) Correlation of time series with very different sampling intervals (sec. vs days)

This is my first post on Cross-Validated. I read a lot of question related to my problem, but no one was completely satisfying. I have two time series that are sampled at very different time ...
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295 views

Two variables correlated to a third one but not together

Let's consider the following correlation matrix: $$\begin{pmatrix} 1 & 1 & 1 \\ 1 & 1 & 0 \\ 1 & 0 & 1 \end{pmatrix}$$ which describes the correlation between 3 random ...
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500 views

Multiple Cross-correlation

I'm trying to compare two sets of time series. I've successfully used cross-correlation to compare two series between them, but I'm not sure about the way to go for several series. Let me be more ...
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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 ...
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92 views

Correlation of one binary input series and continous response series

I have one input series of type 0/1 (it is an intervention time series) and some metric response series. I need to have a look at cross correlations. Normally I would use Box-Jenkins-technique. But ...
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1k views

How to calculate p-value for Cross-Correlation for two time series with delay?

I have two stationery time series that I want to see are they correlated or not. I decided to work with cross correlation, there is a good answer in Correlation between two time series but I dont know ...
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217 views

Can I compute cross correlation after decomposition?

Given two time series within the same time period, I can use the ccf function in R to compute a notion of similarity of these ...
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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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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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169 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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29 views

If I recover VAR model coefficients from PCA-derived coefficients, do I need to ensure that the model has zero cross-correlation in the residuals?

I am investigating how to appropriately combine PCA with VAR modeling. I am using PCA to reduce the number of vars I fit to a VAR model, and am attempting to recover the non-dim. reduced coefficients ...
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1answer
367 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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45 views

Is cross-correlation the appropriate tool to estimate delay between two measurements?

In an industrial installation, there is a pipe containing a continuous stream of product A. The temperature of product A is measured at sampling point 1, every hour. It is also measured a bit ...
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95 views

Flip Weights. How to change bias?

I am reading serialized weights and put them into a tensorflow network: tf.tanh(tf.nn.conv2d(t_im0, weights, strides=strides0, 'SAME') + bias) If I flip the ...
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58 views

Cross-correlation across an interrupted time series

I want to compare the time series of two counts of objects, collected simutaniously: Abundance of object A Abundance of object B I go to a site, and measure the abundances over a given time period ...
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681 views

(Multiple) Time-series analysis, cross-correlation?

I'm new to working with time-series so forgive my ignorance. I have - to start with - two time-series of which I calculated first differences to get rid of any underlying trends that are irrelevant ...
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248 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 ...
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381 views

How to model spatial covariance using Gaussian processes

My data set consists of N noisy time series, each belonging to a point on a surface. The dynamics of each time series are correlated, with correlation decreasing with spatial distance. I hope to ...
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601 views

Cross-correlation of periodic time-series with uneven steps

Background I am seeking to understand the relationship between measured height of certain objects and tides. I have a tide gauge that measures tide height every 2 seconds and a number of other height ...
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189 views

Averaging several cross-correlations

I tried searching and see questions about averaging correlation coefficients, but my question relates to averaging cross correlations. I have more than 10 thousand time-series records that relate to ...
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276 views

Interpreting prewhitened cross-correlation results

I have performed cross-correlation between two autocorrelated time series, in this case monthly net recharge versus each of 12 monthly groundwater level series. I am interested in finding the lag of ...
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2answers
172 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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Distribution of two correlated multivariate normal distributions

Let $\varepsilon_{s}^{FR}$ follow a Gaussian Markov process so that ${\varepsilon_{s}^{FR} = \rho \varepsilon_{s-1}^{FR} + \xi_{s}^{FR}, \: \xi_{s}^{FR} \sim \mathrm{i.i.d.} \: N(0,\sigma^{2}_{\xi^{...
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749 views

Cross correlation between 2 filtered time series

I have 2 band pass filtered time series for 30-90 day band I would like to understand the lagged correlation between these 2 series in this band. The issue is that autocorrelations exist in both ...
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152 views

Cross-validated cross-correlation

I am trying to build a regression model for the forecast of stock market returns. The regression takes about 100 variables as input and my training data consists of n=234 weekly data points. I am ...
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267 views

CCF time lag in minutes in R

I have data sampled every 5m and I want to estimate the ccf between them, in order to do it I prewhiten the time series x and y and then I apply CCF But lags are not direct related with my sampling ...
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775 views

Why and when stationarity is achieved by decomposition rather than differencing in ARIMA model

I would like to understand relationships between variables by which cross-correlation function, that means what is the extent one variable influence the other one. ARMA model is used to fit two ...
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40 views

Correction of data using a correlation

Suppose I have measured the outcome variable A using a (psychophysical) test that determines the ability of a subject to discriminate between two stimuli with a certain difference (the variable X). It ...
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957 views

Prewhitening time series: ARIMA-modelling versus polynomial trendelimination

I'm concerned with Box-Jenkins-models and especially the first step, the prewhitening to obtain meaningful crosscorrelations for identifying transfer functions and building regression models. I'm ...
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129 views

Cross correlation for extremely highly correlated series

I have two time series showing very high dependency, in the order of 99.99% correlation, and I need to study their lead-lag relationship. So far I've been looking at the Pearson correlation with 7/8 ...
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510 views

Canonical correlation and prediction

Is it possible to predict values of variables in a matrix Y from values of variables in a matrix X, ie. using canonical correlations since some variables are correlated among these two matrix? X and ...
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61 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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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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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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34 views

Prediction of financial time series

I have several questions. I will split the text up in one high-level description of the goal of my exercise, a detailed description of my potential solution and finally my actual questions. Please ...
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80 views

intervention analysis on several time series samples where intervention occurs at different times

I have quarterly sales data for ~80 products spanning 4 years. I also have 16 different external interventions, where one or multiple of them have occured on the products on different dates during the ...
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27 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 ...
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1answer
34 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 (...
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31 views

Cross-correlation Techniques

I know that cross-correlation is a measure of similarity, but are there different techniques that can be used to do so? What kind of cross-correlation techniques do exist?
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Are Data Transformations Necessary in Multiple Linear Regression (Lagged Independent Variables) and Time Series Analysis?

I created a regression model on lagged independent variables (monthly data) for the past 4 years. Essentially, after transforming the data to make it stationary I used the ccf plot in R to determine ...
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91 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 ...
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134 views

Difference between cross-correlation and Pearson / Spearman

I'm trying to find the best way to look for common trends in 10 time-series that I have. I'm confused by what I'm reading regarding the best way to go about this. I see people talking about the ...
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99 views

“Fuzzy” but simple and elegant similarity measure for time series

I am looking for a similarity measure between series which exploits the time dimension (rather than just its "mapping" aspect), and was unsatisfied with everything I found. First an example: assume I ...
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103 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})...
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Is Spearman's rank and RMS error an appropriate measure of similarity between two signals?

I am working on a project comparing the accuracy of two imaging techniques to measure displacement. I have attached a graph comparing the displacement measured by both techniques over time. I am ...