# Questions tagged [cross-correlation]

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

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### How can I estimate the delay between two non-periodic time series?

I'm wondering what the best way to estimate the delay and confidence between two non-periodic time series would be. Specifically, I thought it would be interesting to look at the different economic ...
774 views

### Why and when stationarity is achieved by decomposition rather than differencing in ARIMA model

I would like to understand relationships between variables by which cross-correlation function, that means what is the extent one variable influence the other one. ARMA model is used to fit two ...
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### Coefficient for a zero lag cross-correlation different from Pearson correlation r

Reading around I understood that using a cross correlation with lag zero should give the same results of a normal pearson correlation. It happens that this is not the case for me. What could be the ...
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### 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, ...
40 views

### Correction of data using a correlation

Suppose I have measured the outcome variable A using a (psychophysical) test that determines the ability of a subject to discriminate between two stimuli with a certain difference (the variable X). It ...
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### 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 ...
163 views

### Can I use correlation metrics also for time series?

I was using the cross correlation function in R (ccf) until now to discover correlations and lags between two time series. I was wondering if I can use all other ...
550 views

### Similarity between two samples (2D matrices)

I have two matrices: A= 4000x78 where 78 is the dimension of features and 4000 is the number of samples. B= 1000x78 where 78 is the dimension of features and 1000 is the number of samples again. ...
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### How to obtain cross-correlation function from cross-spectrum?

I have implemented a piece of code based on the Lomb-Scargle approach for determining the cross-spectrum of two time series. My cross spectrum contains complex numbers and I have used the basic fft ...
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### Is my time series stationary?

I am using R and have found that both KPSS ( Kwiatkowski-Phillips-Schmidt-Shin ) and the adf (Dickey-Fuller) tests indicate stationarity, having a p-value of 0.01. Here is a plot of the original data:...
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### How do you generate correlated ARMA(1,1) models?

I am interested in generating two ARMA(1,1) time series with a pre-defined cross-correlation p between x(t) and y(t). If you could please provide the mathematical framework and the code in R for ...
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### How to Determine whether Simulation Draws are Correct

I have implemented algorithm 1 and 2 in this paper http://www.lse.ac.uk/statistics/documents/researchreport61.pdf for the analysis/simulation hidden states for some time series. The reason why I am ...
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### How to synchronize two signals using FFT in R?

I have two signals that I want to synchronize. I could achieve this by doing a cross-correlation using the ccf function and finding the lag time at which the ...
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### Cross correlation using photographic film

I used to work for a guy who told me about working for an oil company, probably in the 1960's, doing cross correlation work by sliding two pieces of developed film strips across each other (maybe they ...
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### How to estimate the percent of the variation of a time series explained by another time series (non-stationary)?

I've been learning about time series analysis because I want to understand how much groundwater level changes in an aquifer affect land subsidence (land sinking). I have two time series: (1) ...
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### Linear regression with a delay : $R(t)= a S(t-\delta) + \epsilon$

$R(t)$ corresponds to soil respiration values in function of the time $S(t)$ corresponds to solar radiation values in function of the time $R(t) = a S(t-\delta) + \epsilon$ How calculate the ...
964 views

### Spatial Cross-correlation Function

I have code that calculates a bias-adjusted estimator xi(r) defined as a measure of the excess probability dP, above what is expected for an unclustered random ...
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### Reproduce Cross Correlation results in Python

I'm trying and failing to reproduce the results found in this paper, where the cross correlation between two distributions is calculated: ...
931 views

### Formatting Time-series data for Cross-correlation

In an experiment we measured 100 response times for each subject. The data has the following format: ...
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### 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 ...
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### Matching two power signals for similarity

Below are the images of two signals that i plotted. Both the signals are from fridge belonging to different houses. Visually looking at the plot i can tell that these plots belong to fridge as they ...
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### Maximal coss-correlation formula

I'm reading "Comparing SVM and Convolutional Networks for Epileptic Seizure Prediction from Intracranial EEG" by Yann Lecun et al, and in the paper they present the following formula for maximal ...
359 views

### Counterintuitive result when comparing two groups of time series

I have two groups of time series and I am testing the hypothesis that the groups can be distinguished in some way. Each time series is measurements of an individual’s pupil size as they listen to an ...
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### Proper normalized cross-correlation

I'm confused with the widely used approach to compute the normalized cross-correlation which is something like this: Standardize the argument vectors (of equal length $n$). Slide one over the other ...
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### Initiator follower analysis with time series data sets

I am a newbie to this forum. I searched different white papers and codes on google but couldn't find a solution, that's when I registered on this forum.. Please share in case you guys have a idea as ...
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### How to understand this “normalized product-moment correlation” description

I've recently come across this formula from an ITU-T standard in a project that I'm working on. The application of the formula is to compare two vectors containing some per frame statistics from two ...
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### ANOVA and dependence WITHIN a group

I have three different methods that I would like to compare using ANOVA. The variable to compare is method accuracy that I get trough cross-validation. This means that the same data set (N=60 subjects)...
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### Cross-correlation in matlab: symmetrical plot and sign convention

I have two cosine signals in MATLAB both having a frequency of 100 Hz and the second signal has been delayed in time by 0.003 seconds. Both signals have been sampled at 1 Khz. When I use the cross ...
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### 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....
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### Cross-correlation in R – dealing with missing values

I have two time series. One is an environmental variable (n = 108) organized by year and month. The other is a biological variable, also organized by year and month, but I have no data for some months ...
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### Convert Cross Correlation to Probability value

How can I convert the [-1;1] bound cross correlation value to a probability [0;1]. Cross correlation measures the similarity of two signals / images A,B, I aim at expressing this in the probability ...
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### How to perform proper data mining on time-series data?

I have some daily data from city A, B, C. Values from city A are highly correlated with values from other cities for lag -1,-2,-3 and -4. I want to use Random Forest, SVM and ANN to predict values ...
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### Which Xcorr to choose in a concrete situation: normalized/not, biased/unbiased?

I have 2 data sets, one is binned and another is not, 9000 values each. Something like this: ...
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### Finding a subset of the data in which two variables are independent

I have a dataset of ~400 subjects. For each subject, I have about 18 variables (V1...V18), all of those continuous and measured at the same timepoint. A paper I'm working on would benefit from ...
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### Crosscorrelation of stochastic process

Let $Z_1,Z_2$ i.i.d. standard normal  X(t) = \begin{cases} 0, & \text{if } t<Z_1, t<Z_2\\ 1, & \text{if } Z_1\le t <Z_2 \text{ or } Z_2\le t <Z_1 \\ 2, & \text{if } t\ge ...
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### Prewhitening time series: ARIMA-modelling versus polynomial trendelimination

I'm concerned with Box-Jenkins-models and especially the first step, the prewhitening to obtain meaningful crosscorrelations for identifying transfer functions and building regression models. I'm ...
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### 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 ...
339 views

### Cross correlation in Stata

I have a cross sectional dataset of investment figures (in \$) and a set of dependent variables. The data relates to various years (2000-2013). More than one investment is included in the dataset for ...
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### Intuition behind auto/cross-correlation

I am really having trouble understanding the intuition behind autocorrelation. I mean why are we even calculating a correlation of some series with itself? Can anybody explain it in lay terms with an ...
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### Normalized cross correlation vs Euclidean distance in template matching

What is the difference between normalized cross-correlation and Euclidean distance in pattern recognition? -- especially if we want to do recognition with template matching. I understand about ...
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### Correlating two time series to account for lag and lingering effects

I am trying to find the correlation between two time series, call them A and B. Let's pretend A has the number of successful advertising campaigns for each month for a company, and B has the company's ...
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### 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 ...
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### Cross-correlation in Matlab

What is the difference between: 1) xcov(x,y,10,'unbiased')/sqrt(xcov(x,x,0,'unbiased')*xcov(y,y,0,'unbiased')); 2) xcorr(x,y,10,'unbiased'); 3) [A, B] = crosscorr(x,y,10); ? I think (but I am not ...
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### Estimating the dof for t test of Correlation Coefficients of smoothed time courses

I'm working with an array of size 265 x 5000. Each column is a time series and the rows are points in a series of volumes ( voxels in fMRI ). I preprocessed this data in several ways, most of which ...