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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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62
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8answers
24k views

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 ...
16
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1answer
12k views

Multivariant time series in R. How to find lagged correlation and build model for forecasting

I'm new in the page and pretty new in statistics and R. I'm working on a project for college with the objective of finding the correlation between rain and water flow level in rivers. Once the ...
13
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1answer
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 $T^2 = t^2_1, t^2_2, ..., t^2_m$ ...
12
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2answers
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.
12
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3answers
5k views

What algorithm can I use to find correlations between events?

I am new to machine learning so I am trying to find some literature but I'm not even sure what to Google for. My data is of the following form: ...
10
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2answers
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 ...
10
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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 ...
9
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2answers
4k views

Cross correlation vs mutual information

What is the difference between Cross Correlation and Mutual Information. What kind of problems can be solved using these measures and when is it appropriate to use one over the other. Thanks for the ...
9
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1answer
2k views

How to do a 'beer and diapers' correlation analysis

I have data that is equivalent to: shopper_1 = ['beer', 'eggs', 'water',...] shopper_2 = ['diapers', 'beer',...] ... I would like to do some analysis on this ...
8
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2answers
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....
8
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3answers
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 ...
7
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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 ...
6
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1answer
2k views

Why are the results of R's ccf and SciPy's correlate different?

I have two 10000 element time series and I want to find the cross-correlation between them (Here & Here). I'm doing the data exploration in R (I'm new to it) and writing my program in python. The ...
6
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1answer
3k views

Cross correlation for very sparse binary data

I have a very large (5271159x60) sparse (~2.5%) binary matrix, and I'd like to calculate the cross correlation between each of the columns (sensors) for a series of lags from -10:10, which would give ...
6
votes
1answer
3k views

How can I make the correct time-series analysis for my data?

I conducted a research with 90 participants who were exposed to a film stimuli for 60 minutes and their physiological responses were measured continuously. I would like to test the causal relationship ...
6
votes
2answers
6k 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, ...
6
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1answer
11k views

Interpreting correlations between two time-series

I have simulated the behavior of two variables over the course of three weeks: ...
6
votes
1answer
1k views

What is the correct way for correlation and auto correlation plot?

I am trying to plot the auto and cross correlation of the bitstream that is obtained from a nonlinear dynamical system. The graph is the Auto and cross-correlation for the bitstream obtained from the ...
6
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2answers
2k views

Statistical comparison of two signals

I need to develop an algorithm that will compare two signals and generate some metric(s) to describe changes between them. Signal processing and analysis isn’t my strong point so I would appreciate ...
6
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1answer
1k views

Normalized correlation with a constant vector

I am confused how to interpret the result of performing a normalized correlation with a constant vector. Since you have to divide by the standard deviation of both vectors (reference: http://en....
5
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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 ...
5
votes
3answers
707 views

Random variables have non-zero covariance but expected sample covariance is zero? (intuition)

This post asks "why a familiar and widely used estimator of sample covariance has expected value zero, in a situation where the variables involved are characterized by non-zero and equal pair-wise ...
5
votes
2answers
610 views

Correlation of two 1d point processes with non-uniform unconditional distribution

I want to measure the correlation between two 1D point processes $x$ and $y$. Ordinarily I could use the bivariate K-function $K(t) = \frac{T}{n_xn_y} \sum_{i=1}^{n_x} \sum_{j=1}^{n_y} w(x_i,y_j) I[d(...
5
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1answer
884 views

Automatic test measuring dissimilarity between two time series

I have two time series, series1 and series2. My aim is to find how much Series2 is different from Series1, automatically/quantitatively. Image can be seen in its original size by clicking here. ...
5
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2answers
7k views

How do I interpret this cross correlation function (CCF) plot?

I am working on some exchange rates data. I have two series: $X_t$ with the official exchange rate (e.g. forex) $Y_t$ with the exchange rate on the "black market" (e.g. currency exchange houses at ...
4
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2answers
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 ...
4
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1answer
126 views

What type of analysis to choose for this data?

I am trying to create a model of refrigeration having the energy consumption and the temperature over time. So far, I've tried regression but fitting this data into linear model seems impossible. ...
4
votes
2answers
4k views

How can I estimate the delay between two non-periodic time series?

I'm wondering what the best way to estimate the delay and confidence between two non-periodic time series would be. Specifically, I thought it would be interesting to look at the different economic ...
4
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1answer
4k views

Intuition behind cross-correlation function interpretation vs. correlation of lagged time series

Can someone please explain the difference behind WHY the cross correlation function ccf() chooses to keep the same denominator for all lags and chooses to ignore ...
4
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3answers
8k views

Using correlate in Stata to compare within a variable

I am trying to compare correlations between subgroups of a variable. For instance, I am trying to compare the income of group 1 v. income of group 2 v. income of group 3 v. income of group 4, where ...
4
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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 ...
4
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2answers
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 ...
4
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1answer
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 ...
4
votes
3answers
2k views

Do we need to detrend when do Cross-Correlation between two time series?

I have a group of time series variables and I want to found out the relationship among them. The method I use is to calculate pair-wise correlation between two time series and found out those with ...
4
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0answers
315 views

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 ...
4
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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....
4
votes
0answers
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) ...
3
votes
4answers
5k views

How to perform proper data mining on time-series data?

I have some daily data from city A, B, C. Values from city A are highly correlated with values from other cities for lag -1,-2,-3 and -4. I want to use Random Forest, SVM and ANN to predict values ...
3
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1answer
1k views

How do you generate correlated ARMA(1,1) models?

I am interested in generating two ARMA(1,1) time series with a pre-defined cross-correlation p between x(t) and y(t). If you could please provide the mathematical framework and the code in R for ...
3
votes
2answers
2k views

Intuition behind auto/cross-correlation

I am really having trouble understanding the intuition behind autocorrelation. I mean why are we even calculating a correlation of some series with itself? Can anybody explain it in lay terms with an ...
3
votes
1answer
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 ...
3
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1answer
3k views

Pearson correlation coefficient for lagged time series

I am trying to calculate lagged Pearson correlation coefficient between time series. I am not interested in calculating cross-correlation. I want to calculate Pearson correlation coefficient because I ...
3
votes
1answer
2k views

Code for detrended cross-correlation in R

I want to code for Detrended Cross Correlation in R for time-series data but I'm still stuck. I don't know why the coefficient is not in range -1 : 1. I try to write following these equation below ...
3
votes
1answer
2k views

Normalized cross correlation vs Euclidean distance in template matching

What is the difference between normalized cross-correlation and Euclidean distance in pattern recognition? -- especially if we want to do recognition with template matching. I understand about ...
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 ...
3
votes
1answer
893 views

R Own Implementation of Cross Correlation using Convolution

I try to implement my own cross correlation function in R by translating it as a convolution problem. Part I: So I have two arrays, e.g. two identical arrays, and I want to get the cross correlation ...
3
votes
1answer
2k views

How to synchronize two signals using FFT in R?

I have two signals that I want to synchronize. I could achieve this by doing a cross-correlation using the ccf function and finding the lag time at which the ...
3
votes
1answer
359 views

Counterintuitive result when comparing two groups of time series

I have two groups of time series and I am testing the hypothesis that the groups can be distinguished in some way. Each time series is measurements of an individual’s pupil size as they listen to an ...
3
votes
2answers
114 views

Assessing correlations, adjusted for time

I have time series data for two signals, $X$ and $Y$. At $\text{time}=0$, the both $X$ and $Y$ are roughly 50. As time progresses, $X$ increases to settle at 100 and $Y$ decreases to settle at 0. ...
3
votes
1answer
20k views

Cross Correlation (xcorr in MATLAB) vs Pearson Correlation (corr in MATLAB)

Are the values of xcorr(x,y) in MATLAB correlation values or not? I'm asking this because in MATLAB xcorr(x,y,'coeff') ...