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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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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 ...
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1answer
5k views

Finding Correlation between Time Series - is it a meaningless value?

I want to measure the relationship between pairs of time series over different time periods. I've been looking into correlation of time series and it seems to me that there isn't much point in finding ...
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2answers
165 views

Efficient way to detect outlier peaks in periodic signal

I have a set of traces (1D array), and i need to align them, the problem is that, using generic methods ( cross-correlation, dynamic time wrap), would be very slow to align 1 million trace, each with ...
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383 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 ...
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29 views

What does fractional value represent for distance correlation?

I understand that if distance correlation is 1, then it's statistically dependent but independent if 0. But if distance correlation turns out to be about, say, 0.65 or 0.5 what does that mean in ...
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1answer
364 views

Is there any relationship between Granger causality and Cross-correlation diagram?

I had plotted Cross Correlation diagram of my bivariate dataset (bonds and equity) and observed that I have significant lag coefficients. This implies that a lag of bonds may explain better the ...
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1answer
145 views

Correlation Between Locations

I have two data sets both matrices of latitudes and longitudes. $A = [(X,Y),(X_2,Y_2)]$ $B = [(X_3,Y_3),(X_4,Y_4),(X_5,Y_5)]$ They are of different sizes I want to calculate by how much each of ...
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171 views

Multivariate Time Series Leading/Lagging Relations

Say I have an array of data of 10 time series $x_{i,t}$ at 1000 points in time. I wish to test the hypothesis that the first eight series are in some way a positive leading series of the other two. ...
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1answer
29 views

Binary classifier for cross-related and time-varying points?

Suppose one has $N$ sensors labeled $1,2,3\dots$ arranged in an equally spaced grid. For each point you have a measurement that can vary in time $X^{i}(t), i \in {1,2,3\dots}$. The point $A$ needs ...
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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 ...
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2answers
83 views

How to sort multiple time-series based on “shape”?

Consider the following toy data: All prices have been normalised using $${Price_{Norm} = \frac{Price_{current} - Price_{Min}}{Price_{Max} - Price_{Min}}}$$ Item : Prices Apples : 0.0, 0.4, 0.8, ...
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1answer
51 views

Reference to equation of correlation of log-normal random variables

In another question here at Cross Validated, one user asked for the correlation of log-normal random variables. Here's the link for the question: Correlation of log-normal random variables The ...
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1k views

How to properly calculate the cross-correlation?

I'm writing a simple C program that calculates the cross-correlation between two data sets. Although I've done a good search on how the calculation should be performed, I couldn't figure out some ...
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127 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 ...
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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 ...
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330 views

'significance level' in a cross correlation analysis

I have time series data and applied the cross correlation function in matlab. We know that the correlation coefficients that are shown in the output are the 'best' values shown with the corresponding ...
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1answer
3k views

Find correlation between two time series. Theory and practice (R)

I'm new to R, statistics and time series, so I would really appreciate any help, explanations or suggestion on good readings on the topic. I have two time series representing the number of times a ...
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162 views

Measure of association for two variables accounting for absolute values and relative difference

Setting. Two different individual characteristics, $X$ and $Y$, are measured for a subject repeatedly in time. Both variables are assumed to be continuous and non-negative. I'm looking for a measure ...
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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 ...
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3answers
827 views

Pairwise correlations of time series variables

I am analyzing a group of related time-series variables, and am wondering the best way to think of in-group correlations. For example, suppose that my population is daily leaf-fall for all trees. ...
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1answer
185 views

Validity of VAR model based on cross-correlogram of residuals

I have estimated a VAR model and plotted the correlograms and cross-correlogram of the residual series. The correlograms look OK: there is only one small significant correlation in each of them, but ...
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0answers
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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34 views

Correlation of Three Discrete Signals

I want to perform a test to determine the similarity between three discrete signals. The waveforms represent one test subject performing the same action under the same conditions for three trials, so ...
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1answer
15 views

What test shall i use to see if one disease has any relation with other

I am using data from this website (data is at the bottom of the page) for a case-study. For the sake of question lets stick to any of FluWatch sheet say FluWatch-Alberta. I am coming up with a ...
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1answer
439 views

How to find cross correlation of a response variable with three independent predictor variables for time series data to identify useful lags?

I have a time series data y (response variable) which I want to predict using 3 independent time series data x1, x2 and x3. My goal is to build a multivariate regression model for which I want to ...
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0answers
101 views

Sensor data relationship

I have data from 73 temperature sensors in form of a time series. The data looks like: TimeStamp (minutes) Sensor1 (degrees) Sensor2 ... Sensor N 1 25 41 -5 ... ...
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1answer
158 views

What can be concluded cross correlation of two time series is high at some lag?

If cross correlation peaks at a very high value at positive lag, it does not imply process in time series A causes process time series ...
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0answers
175 views

Cross correlation for two non stationary time series

I have a dependent non-stationary time series and 4 independent non-stationary time series. Because of small sample size (n=11) I couldn't use regression for prediction but I want just report ...
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223 views

Cross Correlation vs. VAR Lag Selection

I have following question: When running the ccf command in R, I retrieve results for the cross-correlation of two time series. The data is monthly data, 54 ...
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1answer
359 views

Measuring negative correlation of time series?

Following case: We have one time-series A trending upwards. We have one time-series B trending downwards. Is there any good way to measure their relationship? Making them stationary by first ...
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0answers
189 views

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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2answers
393 views

Decorrelating Two Time Series

Suppose that I have two time series $\{x_1, \ldots,x_t\}$ and $\{y_{1+k}, \ldots,y_t\}$ which have some level of correlation over an overlapping time period. What techniques can I use to decorrelate ...
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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: ...
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0answers
220 views

How to do robust cross covariance estimation?

I would like to estimate the cross covariance of a data set but I want the estimate to be robust (tolerant to outliers). For example, if I wanted to robustly estimate the covariance of a data set, I ...
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276 views

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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1answer
189 views

In Granger causality test, what does very low p-value means when you know there is little correlation

I am testing a comparison between two time series to see if/how a variable Xs interacts/affects variable Ys. I have come across some cases where I use cross-correlation where I verify there is little ...
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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 ...
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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 ...
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0answers
75 views

Suggestions on correlation analysis of different time series

I have a uni project that requires correlation analysis of different time series but I don't have background in the field of statistical analysis. It's a comparison of google trends data with data ...
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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 ...
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2answers
569 views

How do I cross-correlate timestamps?

Cross-correlation compares the correlation between two time series at different time lags. Normally, this is done when the time series are represented as time series, i.e. vectors of signal magnitude ...
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2answers
1k views

Partial Cross-correlation in R

I think the title is fairly self-explanatory. I want to compute the cross-correlation between two time series controlled for the values at other lags. I can't find any existing code to do this, either ...
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0answers
1k views

Correlation coefficient of matrices (2d arrays)

I need to compute the correlation coefficient between two digital images so that I can compare those two images to test their similarities. I can convert the images either to two matrices of complex ...
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1answer
254 views

Statistical test for cross-correlation

Is there any statistical test to determine that two sequence of numbers (e.g. numbers generated by uniform pseudorandom number generators) have a good cross-correlation (close to zero for all lags) ...
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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....
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0answers
114 views

Quantifying comparison of two different field data sets for the same 3D domain

I have a 3D domain (say a cube). The cube is discretized into an array of grid points. Each grid point holds a field data (like temperature, temperature gradient etc.). I would like to see if the ...
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0answers
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 ...
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0answers
43 views

Lagged time series analysis

Given 3 continuous, normally distributed, independent, time-series vectors (X, Y, Z) and 1 continuous, Poisson distributed, dependant, time-series vector (A). How can I rank the independent vectors in ...
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0answers
159 views

Periodic Cross-Correlation vs Aperiodic Cross-Correlation

I am doing research in spread spectrum communication, and many papers frequently use the terms Periodic Cross-Correlation and Aperiodic Cross-Correlation. However, I cannot find a clear definition of ...
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0answers
140 views

ELI5: Cross-Covariance

Following up on this question on the difference between covariance and correlation, how would you explain cross-covariance to a layman? If possible without formulae.