Questions tagged [cross-correlation]

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

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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 ...
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Correlation between two variables over time

I have 5 individuals. I measure variable X and Y of each one of them over time (on 5 different time points). I want to find out if there are any correlations between X and Y over time and show the ...
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Comparing time series: Pearson correlation, Kendall's tau b or Spearman's rho?

Which correlation coefficient is the most appropriate to compare 2 time series? I want to compare the variation of one variable for 2 regions, have regional data for the last 30 years. Is Pearson ...
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Time lag between correlated signals

What options are there for finding out what the time lag is for different time series? I'm looking at market data here - for example, if sugar does bad in a year, it's likely that soda might be hit ...
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Correlation of one binary input series and continous response series

I have one input series of type 0/1 (it is an intervention time series) and some metric response series. I need to have a look at cross correlations. Normally I would use Box-Jenkins-technique. But ...
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T-statistic of correlation coefficient

Hi I am trying to calculate the t-statistic for a correlation coefficient between two vectors $x$ and $y$. The individual vectors shows signs of autocorrelation. I have made use of the formula: $\...
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Using cross correlation to infer dependence, can it be done?

I have a very particular question, I have seen a similar one here, but my knowledge is too limited to make use of it. I will try to explain myself as clearly as possible... Wish me luck! I have a ...
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Intuition behind cross-correlation function interpretation vs. correlation of lagged time series

Can someone please explain the difference behind WHY the cross correlation function ccf() chooses to keep the same denominator for all lags and chooses to ignore ...
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334 views

Determining odd time series [duplicate]

I have a number of time series which are derived of same underlying data. However, the data in each comes from a different source, so they may be slightly lagged or differently enriched but ...
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Detrending & cross-correlation function

I am looking for some help with my time-series data. What is the best method of detrending/transformation of these two variables, so I do not violate assumptions of stationarity when applying a cross ...
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Time series and cross correlation

I have two time series: numbers of subscriptions per hours for 10 days, for a website. the time where TV ads, for a specific TV channel, have been displayed e.g. 10:25AM on Monday 12 of August, TV ...
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How to calculate p-value for Cross-Correlation for two time series with delay?

I have two stationery time series that I want to see are they correlated or not. I decided to work with cross correlation, there is a good answer in Correlation between two time series but I dont know ...
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Using correlate in Stata to compare within a variable

I am trying to compare correlations between subgroups of a variable. For instance, I am trying to compare the income of group 1 v. income of group 2 v. income of group 3 v. income of group 4, where ...
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Fourier phase randomization

Can anybody please explain or point to an online resource that explains the Fourier phase randomization technique? I encountered it in the context of comparing the cross-correlation of two signals ...
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Similarity metric not based on statistical correlation

I'm building a simple recommender algorithm and as a prerequisite to calculating a prediction, I need to assign a similarity metric between each two pair of users. The next step being calculating a ...
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Assessing correlations, adjusted for time

I have time series data for two signals, $X$ and $Y$. At $\text{time}=0$, the both $X$ and $Y$ are roughly 50. As time progresses, $X$ increases to settle at 100 and $Y$ decreases to settle at 0. ...
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Cross correlation for extremely highly correlated series

I have two time series showing very high dependency, in the order of 99.99% correlation, and I need to study their lead-lag relationship. So far I've been looking at the Pearson correlation with 7/8 ...
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Cross Correlation (xcorr in MATLAB) vs Pearson Correlation (corr in MATLAB)

Are the values of xcorr(x,y) in MATLAB correlation values or not? I'm asking this because in MATLAB xcorr(x,y,'coeff') ...
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How to calculate confidence interval for autocorrelation- and cross correlation functions? [duplicate]

I would like to calculate the confidence interval for my autocorrelation function. Does this calculation differ in any way from the normal way of calculating confidence intervals? How would I ...
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p-values for all lags in a cross-correlation calculation [duplicate]

I am testing the lead-lag relationship among two variables with cross-correlation function (CCF) by SPSS. however, SPSS computes CCF coeficient for all defined lags, but it does not determine the p-...
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I have two sets of data (regular time intervals) is there any way to find out when they correlated the most and when they don't?

Sorry if the title is a bit vague however, i'm not sure exactly how to make my sentence concise. I have two times series: Amount invested into Iraq across time (in months) Price of a stock across ...
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Cross-correlation with Spearman's method

I should investigate the lead-lag relationship among 2 sets of data, annual incidence of a disease and annual average data of an environmental factor for 13 consecutive years. Both sets are not ...
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994 views

Compare two time series

I have two time series that come from the same system. One is taken from the whole system, and the other is taken from, say, 10% of the system. The two time series have the same frequency. Is there a ...
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calculation of correlation time?

I have two time series of a two realizations of a random process, the process fluctuate around an average so i consider that is a ergodic process. I compute the time correlation function, but i need ...
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Which one consider when dealing with dummy variables: Exact Sig. (2-sided) or Exact Sig. (1-sided)?

I'm running a cross tab of one categorical variable against a dummy variable. This dummy variable indicates the presence or absence of a company characteristic(if the company is industrial it should ...
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840 views

Measuring error in the lag when cross-correlating data

Cross-correlation can be used to measure a 'lag' (or shift or offset) between two data sets (e.g., data streams). Is there a standard way to measure the errors in the 'lag'? Or better yet, is there ...
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Jointly stationary random process

If two wide-sense stationary processes $X(t)$ and $Y(t)$ are uncorrelated, then the cross correlation is $R_{XY}(t_1,t_2) = E\{X(t_1)Y(t_2)\} = E\{X(t_1)\}E\{Y(t_2)\}$, which will be a constant, ...
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Asynchronous (irregular) Time Series Analysis

I am trying to analyze the lead-lag between time series of two stock prices. In regular time series analysis, we can do Cross Correlaton, VECM (Granger Causality). However how does one handle the ...
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How to estimate the correlation between a property of two populations given several algorithms

Editing question to be more specific: I'm relatively new to statistics, and hoping I can get some help. The brilliance that is Stack Exchange has been immensely helpful in the past. In my case, I ...
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164 views

Cross-correlation of massive arrays

I have 16 1D arrays with approximately 10-11 million double-precision elements each. I need to execute a cross-correlation across them, i.e., 1 with 2, 1 with 3, ..., 1 with 16, 2 with 3, 2 with 4, ......
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When can I use STL decomposition? [duplicate]

Let us say I extract all tweets containing a certain hashtag (main subject of the tweet) and bin them by the hour i.e. count the number of tweets that occurred during a certain hour. I will then be ...
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Can I compute cross correlation after decomposition?

Given two time series within the same time period, I can use the ccf function in R to compute a notion of similarity of these ...
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136 views

Correlated errors between variables [between / within subjects, within variables, everything]!

I am trying to figure out good model to analyze social dynamics using a model. I have commenting data from a website. Such as 500 articles, 10000 users, and their 75000 comments. Every user does not ...
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284 views

Probability distribution of windowed cross-correlation

This question is in the context of time-delay estimation. Say I have a stationary Gaussian stochastic process $g$, and I know its autocorrelation function $R_g(\tau)$. To do time-delay estimation, I'm ...
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Normalized correlation with a constant vector

I am confused how to interpret the result of performing a normalized correlation with a constant vector. Since you have to divide by the standard deviation of both vectors (reference: http://en....
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Cross correlation vs mutual information

What is the difference between Cross Correlation and Mutual Information. What kind of problems can be solved using these measures and when is it appropriate to use one over the other. Thanks for the ...
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A reliable measure of series similarity - correlation just doesn't cut it for me [duplicate]

Possible Duplicate: A reliable measure of series similarity - correlation just doesn't cut it for me I'm trying to determine a method to compare one particular time series against about 10,...
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If F = F1+F2 is some measured random field, how to find out if F2 has been correctly estimated and subtracted?

I have a random field, F, defined on the surface of a sphere pixellized into about a million points. I know that F must consist of two components - F1 and F2, F1 being a true signal and F2 being some ...
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For two offset sampled data series, what is the best estimate of the offset between them?

I have 1 dimensional data series sampled at even time intervals; they are noisy but have the exactly the same (unknown) underlying curve - with one difference: they are offset in time by some unknown ...
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Canonical correlation and prediction

Is it possible to predict values of variables in a matrix Y from values of variables in a matrix X, ie. using canonical correlations since some variables are correlated among these two matrix? X and ...
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When was the cross-correlation function invented? And what was the motivation behind it?

In a previous question I asked about the history of auto-correlation In this question I'm interested in the discovery process behind cross-correlation. When was it invented? Was it independently ...
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Comparing correlation coefficients

I have two sets of data where I have at ~250.000 values for 78 and 35 samples. Some of the samples are members of a family and this may have an effect of the data. I have calculated pairwise ...
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How can I test the significance of the correlation coefficient? [duplicate]

Possible Duplicate: Cross-correlation significance in R How can I test the significance of the correlation coefficient? I have two time series and I want to test if they are cross correlation. ...
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How to determine if a given signal is time-correlated?

I am trying to determine if a given noise from a compass sensor is time-correlated (it is supposed to be!) and for that I tried to compute the cross correlation between the noise signal and the time ...
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How to do a 'beer and diapers' correlation analysis

I have data that is equivalent to: shopper_1 = ['beer', 'eggs', 'water',...] shopper_2 = ['diapers', 'beer',...] ... I would like to do some analysis on this ...
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Calculate Cross Correlation of two matrices of the 'Values Vs. Time' representation

I have 2 acceleration vectors, each represented by a matrix with its first column corresponding to the magnitude of acceleration and second column corresponding to the time (in ms) They both represent ...
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MATLAB interpretation of xcorr2 cross correlation function

I have two vectors of matching lengths. They are readings from two different sensors (one is from a smartphone and the other is from a wiimote) of the same hand movement. I am trying to find the time ...
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Correlation of two 1d point processes with non-uniform unconditional distribution

I want to measure the correlation between two 1D point processes $x$ and $y$. Ordinarily I could use the bivariate K-function $K(t) = \frac{T}{n_xn_y} \sum_{i=1}^{n_x} \sum_{j=1}^{n_y} w(x_i,y_j) I[d(...
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If A and B are correlated with C, why are A and B not necessarily correlated?

I know empirically that is the case. I have just developed models that run into this conundrum. I also suspect it is not necessarily a yes/no answer. I mean by that if both A and B are correlated ...