We’re rewarding the question askers & reputations are being recalculated! Read more.

# Questions tagged [cross-correlation]

A measure of correlation between different time series, at the same or different times.

299 questions
Filter by
Sorted by
Tagged with
8k views

### Correlation between two 2D arrays

I could not find anywhere, how to calculate correlation between two arrays. Say I do have Array1 with X and Y values and also Array2 with X and Y values. I tried to do some calculation and inserting ...
172 views

### Correlation between spatial distributions

I have three bivariate data sets of different sizes and the same sampling interval. These represent the variation of dry river bed direction with distance at equidistant sample points. When plotted ...
535 views

### Cross correlation of gaussian signals with its mean signal gives non-gaussian distributed scores

The following is my question: I have signals that contains noise, they are of the following form see the figure below.. Then I take the mean signal of all these signals (identical in length and shape)....
684 views

### Cross-correlation with Spearman's method

I am trying to calculate the cross-correlation between two time series. I know that ccf in R base can slove this problem and it uses Pearson's correlation method. My question is: How can I calculate ...
33 views

### Compare two distributions with varying focus on different regions

I have been trying to find if my problem matches has been discussed in prior research and if any technique exists to solve it. Here's the problem: Given two distributions (pdf) D1 and D2 over a ...
93 views

### How can the Cross-correlation of two time series be used to measure similarity between vectors

Because cross correlation methods (like numpy.correlate) typically return vectors, how can they be used to determine the similarity of two input vectors
232 views

### Cross correlation function in more than one dimension

The cross correlation function is $CCF(\tau) = \int f(t)g(t+\tau)dt$ My question: are there any extensions to higher dimensional spaces? For instance, assuming space dimension $x$ is orthogonal to ...
43 views

### Correlate incidence rate with number of cases

As title says, I want to see how well incidence rate (over a period of years) of a disease compares with number of cases of a certain procedure (over the same period of years) used to cure it. How ...
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 ...
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 ...
97 views

1k views

### Cross- correlation between two non-stationary time series

I have two time series that are growing together. I want to measure if these series are growing similarly together with some lag. Originally, I was thinking I would just take the cross-correlation ...
59 views

### Event data correlation

I have two sets of data from two different types of sensor. For each instance a sensors output exceeds a threshold the amplitude and time is it is logged as an event. Thus each event consists of a ...
77 views

### cross correlation of partially correlated signals

I measure $x(t)$ and $y(t)$, two stationary random signals, and I want to find out if, and how much, they are correlated. What I'm doing is to plot the cross correlation ...
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 ...
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: ...
95 views

### Does possible autocorrelation in data affect simple correlations?

I have a question concerning autocorrelation in data affecting correlation coefficients. Consider a time series of stock returns (e.g. 10 trading days) of different stock markets (A, B, C and D) and I ...
89 views

### Help needed with correlating two datasets

First cross-validated question so please be gentle :o) I have two datasets all gathered and managed in 'R'... Dataset 1 - News Corpus. Contains 3,270 entries from the period 1/Apr/13 to 31/Mar/14. ...
267 views

### CCF time lag in minutes in R

I have data sampled every 5m and I want to estimate the ccf between them, in order to do it I prewhiten the time series x and y and then I apply CCF But lags are not direct related with my sampling ...
369 views

### How to calculate the cross correlation between two time series measured at different instants?

I have two time series with measurements of the same type but different stations. I would like to know if the two series are correlated and how much is the "lag" between them. The idea is that in this ...
615 views

### Calculate correlation between events and signals in time series

I have a time series signal (continuous values) and some events occurring. An event for me is characterized by the fact that it only has a single timestamp assigned to it and not a timespan. Is there ...
146 views

### Analysing the correlation between two trends

I've got 2 growing trends. One is the input (the number of published articles on a website) and I want to understand if the other appears to be correlated (the number of daily visitors). The problem ...
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 ...