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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 ...
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 ...
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 $T^2 = t^2_1, t^2_2, ..., t^2_m$ ...
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.
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: ...
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 ...
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 ...
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 ...
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 ...
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....
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 ...
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 ...
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 ...
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 ...
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 ...
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, ...
11k views

### Interpreting correlations between two time-series

I have simulated the behavior of two variables over the course of three weeks: ...
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 ...
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 ...
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....
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 ...
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 ...