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### First historical references on auto-correlation and cross-correlation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