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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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1answer
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 ...
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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 ...
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1answer
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
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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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1answer
44 views

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 ...
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1answer
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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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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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 ...
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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 ...
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1answer
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 ...
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1answer
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: ...
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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 ...
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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 ...
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1answer
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 ...
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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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285 views

PCA and correlation between observed variables and principal components

In principal component analysis, the correlation between the i-th principal component ($y_i$) and the random vector of observed variables x (of dimension $p$) is defined as: $corr$( $y_i$ , x ) = $\...
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“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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55 views

In prewhitening, should we develop an ARIMA(p,q,d) for X but use only ARI(p,q) as the filter?

According to the answer in this question by IrishStat, the reason that you pre-whiten X is to identify a filter that can transform Y and X into y and x where x is white noise. Assume that X is ...
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104 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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1answer
502 views

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 ...
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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 ...
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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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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 ...
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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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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 ...
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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 ...
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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 ...
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1answer
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 $Z$, $\{X_j\}_1$...
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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 ...
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1answer
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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1answer
189 views

Log-Transform/Pre-Processing Time Series before Similarity Matching

I have ~1500 time series data representing store sales (US$). All time series are of the same size with 52 weeks of data with no NA values. For a subset of 18 specific time series, I want to find the ...
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92 views

detect if time series follow/lead each other

Apart from the Granger test for Granger causality, which tests whether one time series contains information to help predict the other time series, are there any methods to test if on time series lags/...
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2answers
78 views

How can I approximate the accurate sensor readings given readings from noisy sensors?

I have five sensors measuring the same quantities (temperature, humidity, barometric pressure) at the same time. I also have reference measurements (from much more accurate sensors). What is the ...
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1answer
110 views

How to analyze Time-Series data?

I am currently writing my masters thesis and have some difficulties with the statistical part of my research. I am new here, with limited knowledge in econometrics. I want to analyse the ...
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424 views

What would be the example of a 2D crosd correlation?

1D cross correlation is the correlation between two 1D vectors. 2D cross correlation is the correlation between two 2D matrices I was reading this link which talks about 1D cross correlation. Can ...
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1answer
126 views

The effect of nonlinearity trends in the data on the cross correlation

Assume we have two datasets $X$ and $Y$ and I want to evaluate the cross correlation between them. What are the effects of nonlinearity trends within each dataset? That is, are there any relations ...
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1answer
175 views

Correlating categorical variables.

I have a collection of dummy variables. Each record has an entry in each category Income: Low, Low-Mid, High-Mid, High. Education: Low, Low-Mid, High-Mid, High. Occupation: Unemployed, Manual ...
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610 views

Time normalisation for time series using sliding window

As part of my research into eigenvalue dynamics of financial time series I am reading a paper which introduces the idea of time series normalisation between stocks before computing the zero-lag cross-...
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1answer
361 views

What metrics can be used to evaluate similarity performance of a regression model?

I've used neural nets to learn a trajectory and the learned model is giving 'fairly reasonable' prediction when compared to my test data. My question is on evaluating this model. I've seen Mean ...
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1answer
134 views

Metric for spatial auto cross correlation?

I am trying to find anomalies in time series data with geolocations. For different time intervals, e.g. for some week or for some day or for 6 consecutive months, I want to learn whether there is ...
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1answer
728 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 ...
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1answer
102 views

Spectral density of square of AWGN

Additive white Gaussian noise (AWGN), $w(t)$, is usually modeled with the following assumptions For a given $t_0$, $w(t_0)$ follows a normal distribution and $R_{ww} = \sigma^2 \delta(t)$, where $\...
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1answer
94 views

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 ...
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1answer
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 ...
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1answer
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 ...
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0answers
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?
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1answer
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 ...
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1answer
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 ...
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0answers
683 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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0answers
250 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 ...