Questions tagged [cross-correlation]

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

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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 (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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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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282 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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601 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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858 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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2k views

Spatial cross-correlation: What is the correlation statistic used by the correlog function?

I want to look at the spatial cross-correlation between 2 variables. I am currently using the function correlog from the package ...
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1answer
619 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 ...
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1answer
622 views

What are good values for autocorrelation, Gelman, and cross-correlation in rjags?

I don't want to post my whole code since it is long, so I will only post part of it: ...
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146 views

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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1answer
2k views

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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128 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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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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297 views

Two variables correlated to a third one but not together

Let's consider the following correlation matrix: $$\begin{pmatrix} 1 & 1 & 1 \\ 1 & 1 & 0 \\ 1 & 0 & 1 \end{pmatrix}$$ which describes the correlation between 3 random ...
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504 views

Multiple Cross-correlation

I'm trying to compare two sets of time series. I've successfully used cross-correlation to compare two series between them, but I'm not sure about the way to go for several series. Let me be more ...
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1answer
3k views

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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92 views

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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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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217 views

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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3answers
8k views

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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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: ...
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3answers
850 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
785 views

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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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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Testing significance of cross-correlated series

I want to prove that, overall, signal B is correlated to signal A. I was thinking of using cross-correlation (in R) to measure this. Essentially I have two kinds of signals: signal A is a series of ...
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3answers
657 views

Help w/ finding correlation between unemployment rate and home prices over the same time period?

I am interested in analyzing the correlation between nationwide home prices and nationwide unemployment rates, both of which are leading economic indicators. I have data on nationwide home prices by ...
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68 views

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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322 views

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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1answer
21 views

Decomposition of auto correlated variable

Can the sum of two (or more) random variables with zero auto-correlations and zero cross-correlations yield a random variable that has non zero auto-correlation?
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1answer
46 views

How to test significance of vector with correlation coefficients

I am new to R so please apolozige if I should use wrong terms etc. Let's say I investigated married couples as subjects, and (amongst other) tested if their amount of consumed alcohol is correlated ...
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1answer
4k 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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1answer
755 views

Correlation as a time series

I have been studying a few simple statistical models for (univariate) time series. From my understanding, ARIMA and its siblings are used to model the mean of a time series. Rather than a static ...
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2answers
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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1answer
2k views

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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1answer
825 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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144 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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95 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
441 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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3answers
174 views

How to detect inversions in the behavior of two time series through an online algorithm?

I would like to know if there is any technique which is capable to detect online (i.e. considering a sliding window) if there is a correlation between two time series. In particular, I'm trying to ...
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1answer
1k views

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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1answer
200 views

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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2answers
87 views

Identifying Early Indicators Time Series Analysis

I have a time series representing demand for a product which looks as follows: Clearly, this time series shows an upward trend and it's variance does seem non-stationary as well. Further, I have a ...
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ARIMA predictors - clarification

I'm working on multivariate time series (still), and would like some clarification. I was reading this site: Duke Forecasting and I came across this statement: "We see that the most significant ...
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2answers
175 views

Using non-stationary time series in cross-correlation analysis

I have modelled organism dynamics and abiotic factors time series in order to understand their seasonal oscillation and trend over time. Now I want to identify if there are any correlation between ...
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1answer
138 views

Cross correlations

I have a question about cross correlations and multivariate time series. I've read several articles and posts on SE about how to properly prewhiten data for cross correlation of two time series, and ...
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0answers
29 views

If I recover VAR model coefficients from PCA-derived coefficients, do I need to ensure that the model has zero cross-correlation in the residuals?

I am investigating how to appropriately combine PCA with VAR modeling. I am using PCA to reduce the number of vars I fit to a VAR model, and am attempting to recover the non-dim. reduced coefficients ...
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1answer
394 views

Normalised and “Normal” Cross Correlation giving different lag positions

Using numpy's np.correlate() am trying to find the lag position of two data sets of different length. When I use this operation by its own I find a lag position ...
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Is cross-correlation the appropriate tool to estimate delay between two measurements?

In an industrial installation, there is a pipe containing a continuous stream of product A. The temperature of product A is measured at sampling point 1, every hour. It is also measured a bit ...
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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 ...