Questions tagged [cross-correlation]

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

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58 views

Cross-correlation across an interrupted time series

I want to compare the time series of two counts of objects, collected simutaniously: Abundance of object A Abundance of object B I go to a site, and measure the abundances over a given time period ...
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700 views

(Multiple) Time-series analysis, cross-correlation?

I'm new to working with time-series so forgive my ignorance. I have - to start with - two time-series of which I calculated first differences to get rid of any underlying trends that are irrelevant ...
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254 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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396 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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634 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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201 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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286 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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2answers
178 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 ...
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98 views

Distribution of two correlated multivariate normal distributions

Let $\varepsilon_{s}^{FR}$ follow a Gaussian Markov process so that ${\varepsilon_{s}^{FR} = \rho \varepsilon_{s-1}^{FR} + \xi_{s}^{FR}, \: \xi_{s}^{FR} \sim \mathrm{i.i.d.} \: N(0,\sigma^{2}_{\xi^{...
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759 views

Cross correlation between 2 filtered time series

I have 2 band pass filtered time series for 30-90 day band I would like to understand the lagged correlation between these 2 series in this band. The issue is that autocorrelations exist in both ...
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159 views

Cross-validated cross-correlation

I am trying to build a regression model for the forecast of stock market returns. The regression takes about 100 variables as input and my training data consists of n=234 weekly data points. I am ...
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269 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 ...
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1answer
381 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 ...
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797 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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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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961 views

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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129 views

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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324 views

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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515 views

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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3answers
2k views

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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1answer
52 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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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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1answer
758 views

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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3answers
333 views

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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1answer
355 views

Interpretation of logistic regression with normalized features

With logistic regression, a one unit change in $X_1$ is associated with a $\beta_1$ change in the log odds of 'success' (alternatively, an $\exp(\beta_1)$-fold change in the odds), all else being ...
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1answer
171 views

Dynamic Time Warping vs Cross Correlation

Consider the following data frames: > df1 value 1 6 2 2 3 3 4 1 > df2 value 1 3 2 8 3 4 4 5 I want to find the ...
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2answers
529 views

How to analyze correlation of multivariate time series

I have a multivariate time series with variables A, B and C. ...
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1answer
527 views

Testing significance of correlation between time series [closed]

I would like to know if there are some methods (or better, some statistics or even better, some R functions) like in https://en.wikipedia.org/wiki/Pearson_correlation_coefficient#Inference or in the R ...
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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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1answer
282 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
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 ...
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1answer
615 views

How to test if I can use cross-correlation?

I want to compare two time series in R and see if they are cross-correlated (with ccf). I believe that they have to be stationary? How that my data is stationary in R and are there any other ...
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1answer
3k views

Cross Correlation and Prewhitening

I am using cross correlation to demonstrate a potential link between two time series (ext & co). Both series are strongly autocorrelated, so it is difficult to assess the dependence between the ...
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1answer
471 views

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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1answer
179 views

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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1answer
115 views

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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2answers
725 views

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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1answer
268 views

What is the difference between cross correlation and persons r correlation for two different signal?

What is the difference between cross-correlation and pearsons r correlation for two different signals? It will be very grateful if somebody explains with an example
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1answer
44 views

Comparing dependent correlations

I have a simple single-group pre-post design and have Pearson correlations for performance and self-report for both times of measurement for each participant that I would like to compare. Would using ...
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1answer
154 views

How to find a set of parameters that maximize the correlation between two sets?

I have a dataset $\{Y_i\}$, and a set of datasets $\{\{X_j\}_Z\}$ that depend on $Z=1,2,\ldots,26$ (and $j_{max}=100$; $i_{max}=26\times 100$), meaning that there are sets, numbered by $Z$, $\{X_j\}_1$...
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2answers
82 views

How can I approximate the accurate sensor readings given readings from noisy sensors?

I have five sensors measuring the same quantities (temperature, humidity, barometric pressure) at the same time. I also have reference measurements (from much more accurate sensors). What is the ...
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1answer
182 views

Correlating categorical variables.

I have a collection of dummy variables. Each record has an entry in each category Income: Low, Low-Mid, High-Mid, High. Education: Low, Low-Mid, High-Mid, High. Occupation: Unemployed, Manual ...
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1answer
375 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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2answers
402 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
101 views

Deriving the single factor model

Consider the following regressions: $y_1 = \beta_1 \cdot x + \gamma_1 \cdot \epsilon_1 $ $y_2 = \beta_2 \cdot x + \gamma_2 \cdot \epsilon_2 $ With $\epsilon_1$, $\epsilon_2 \tilde{} N(0,1) $ as ...
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1answer
686 views

Which test statistic to use to test for cross-sectional dependence in panel data (R, plm)?

I would like to test for cross-sectionally dependent residuals in my panelmodel (pooled). I found pcdtest() in plm package and tried ...
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1answer
90 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. ...
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1answer
49 views

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 ...
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1answer
1k views

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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1answer
2k views

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 ...