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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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75 views

### Correlation of time-series at specific timestamp

Suppose, I have several hundred time series that are originating from one system and probably correlate. Now suppose, one of the signals, lets say signal A, shows strange behavior at several ...
28 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 ...
249 views

### What is the difference between cross correlation and persons r correlation for two different signal?

What is the difference between cross-correlation and pearsons r correlation for two different signals? It will be very grateful if somebody explains with an example
596 views

### Which test for lagged effect of one time series on another?

I have a data set with three variables: year (21 consecutive years) and two time series which are count data (count1 and count2). I want to know whether count2 correlates with some time delay lag with ...
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### Comparing dependent correlations

I have a simple single-group pre-post design and have Pearson correlations for performance and self-report for both times of measurement for each participant that I would like to compare. Would using ...
35 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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### 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?
553 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 ...
382 views

### What is the Identity of a convolution layer in a Neural Network?

I wanted to know what the identity of a convolutional layer of a neural network was. For standard convolution operation in mathematics the identity is the delta function, however, convolutions in ...
322 views

### Interpretation of logistic regression with normalized features

With logistic regression, a one unit change in $X_1$ is associated with a $\beta_1$ change in the log odds of 'success' (alternatively, an $\exp(\beta_1)$-fold change in the odds), all else being ...
81 views

### Time series correlation between industry and MSCI ACWI index

I have daily return data of 11 sectors of MSCI World Index and the MSCI ACWI index. I want to know the stationarity of correlations between the sectors and MSCI ACWI index. This is what I have done: ...
35 views

### 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 ...
92 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 ...
88 views

### Is cross-correlation valid for time-series such as these (with trends)?

I have lots of pairs of timeseries e.g.: I am trying to get an idea of how correlated they are (the black fit lines rather than the data themselves). I thought that one way to do this would be to ...
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 ...
285 views

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### 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 ...
85 views

### 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 ...
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 ...
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 ...
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 ...
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 ...
48 views

### How to quantify correlation between two non-Gaussian AR(1) time-series?

I am trying to understand the need for lateral transshipment within the same echelons in our supply-chain. Lateral transshipment would be more helpful if the stock-levels at two stocking-points are ...
128 views

### Cross-correlation (time-lagged correlation) for binary variables

I am looking at two time-series, one is continuous and somewhat stationary, and the other one is very sparse with lots of 0's and a few 1's. Does the traditional Cross-correlation function still work ...
153 views

### How to find a set of parameters that maximize the correlation between two sets?

I have a dataset $\{Y_i\}$, and a set of datasets $\{\{X_j\}_Z\}$ that depend on $Z=1,2,\ldots,26$ (and $j_{max}=100$; $i_{max}=26\times 100$), meaning that there are sets, numbered by $Z$, $\{X_j\}_1$...
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 ...
133 views

### What is the difference between correlation and cross-correlation?

Skimming through scientific papers I bumped into both correlation and cross-correlation. How similar or different are these two concepts?
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### Tests for comparing periodicity

I have a time series question that is probably answered by these posts (1, 2) but perhaps I'm not thinking about it in the right way. I have 3 time series: $A$, $B$, and $C$. The three time series ...
48 views

### correlation of predictions and actuals

I should say that this question has nothing to do with regression. I am familar with the Sums of Squares Decomposition when there is an intercept in a regression but I'm not referring to that in this ...
17 views

### Is there a way to cross-correlate two timeseries, but only when one of them rises?

I'm following two timeseries: one is a setpoint, the other is the controlled output. When the setpoint rises I want the controlled output to follow quickly; when the setpoint drops, it's acceptable to ...
58 views

### Effect of down sampling on cross correlation

I have two signals X and Y. Both of them was sampled at 9600 samples / second. If I down sample X to 500 samples / second, will that effect on the cross correlation of X and Y?
153 views

### Combination of cross-correlation and t-test

I have a coarse and noisy image data taken from two different but geometrically similar samples (pixel size are all the same). I want to prove that there is a statistically significant differences ...
834 views

### Interpreting ccf() plot in R

I was hoping you could help me interpret the following cross-correlation plot of U.S. and China short-term interest rate time series(1997-2015). I am a beginner to statistics, so I apologize if I am ...