Questions tagged [cross-correlation]

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

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832 views

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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1answer
1k views

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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8k views

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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16 views

Autocorrelation fitting algorithm

I am currently working on an autocorrelation fitting algorithm, similar to this for a gaussian spectral signal I would like to calculate parameters such as velocity and spectrum width using a finite ...
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1answer
69 views

Can I perform cross correlation on non-stationary data?

I have level data which need different level of integration to be stationary. I would like to know how to perform a correlation analysis. Can I perform this on raw data or must the data be stationary?
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28 views

Methods to handle uneven censoring for the monitoring of composite endpoints

Suppose you are doing a cancer study and you compare progression-free survival (PFS) for two groups. A PFS event is either death or disease progression (PD), which ever comes first. People in the ...
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1answer
31 views

CCF patterns intuition

I am studying pre whitening and cross correlation functions. I read somewhere... I forgot where, that there are patterns which tell you which lags of each variable to take. In this image, lags of X ...
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1answer
204 views

Implementation of Shanken (1992) Adjustement for Fama MacBeth Asset Pricing Tests

I am trying to implement an unconditional asset pricing test according to the Fama & MacBeth (1973) method. The calculation of the factor-loadings as average of monthly cross-sectional regressions ...
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0answers
27 views

Interpreting Cross-Correlation Function betwen residuals of ARIMA-SARIMA models

I've seen several posts this week around this topic, but I cannot find a right answer, probably because time series is something very artisan! I'm doing a task about finding causality between surface ...
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17 views

Dynamic transformations on an inferred time-scale [duplicate]

I have two datasets which I am trying to correlate to one another. The first dataset, we'll call it reference records the dependant variable ...
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0answers
35 views

Prediction of financial time series

I have several questions. I will split the text up in one high-level description of the goal of my exercise, a detailed description of my potential solution and finally my actual questions. Please ...
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0answers
92 views

intervention analysis on several time series samples where intervention occurs at different times

I have quarterly sales data for ~80 products spanning 4 years. I also have 16 different external interventions, where one or multiple of them have occured on the products on different dates during the ...
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28 views

Comparison of two correlations

I want to correlate stock price of one company and stock indice, taking the price at the end of the day for a period of six years. After that, I want to compare the link for two time series, non ...
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1answer
653 views

Which test for lagged effect of one time series on another?

I have a data set with three variables: year (21 consecutive years) and two time series which are count data (count1 and count2). I want to know whether count2 correlates with some time delay lag with ...
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1answer
35 views

Which test should I use to determine a relationship between Social media activity and calls booked from activity?

We run a business and I am trying to calculate the worth of spending time on our social media groups to book calls with potential clients. I have a list of social media activity for the last 60 days (...
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34 views

Cross-correlation Techniques

I know that cross-correlation is a measure of similarity, but are there different techniques that can be used to do so? What kind of cross-correlation techniques do exist?
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35 views

Are Data Transformations Necessary in Multiple Linear Regression (Lagged Independent Variables) and Time Series Analysis?

I created a regression model on lagged independent variables (monthly data) for the past 4 years. Essentially, after transforming the data to make it stationary I used the ccf plot in R to determine ...
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95 views

covariance matrix vs correlation matrix for multiple signal analysis

I'm dealing with a set of +100 input signals, and one output. I want to explore how each of the signals affects the output. Should I focus on covariance matrix, or correlation matrix, and why? I ...
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144 views

Difference between cross-correlation and Pearson / Spearman

I'm trying to find the best way to look for common trends in 10 time-series that I have. I'm confused by what I'm reading regarding the best way to go about this. I see people talking about the ...
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101 views

“Fuzzy” but simple and elegant similarity measure for time series

I am looking for a similarity measure between series which exploits the time dimension (rather than just its "mapping" aspect), and was unsatisfied with everything I found. First an example: assume I ...
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105 views

Testing significance of Kendall and distance correlations for time series

Given two stationary time series $X$ and $Y$, is it possible to test the significance of the cross-Kendall-correlations $\tau(X_t,Y_{t+h})$ and the cross-distance-correlations $\text{dCor}(X_t,Y_{t+h})...
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88 views

Is Spearman's rank and RMS error an appropriate measure of similarity between two signals?

I am working on a project comparing the accuracy of two imaging techniques to measure displacement. I have attached a graph comparing the displacement measured by both techniques over time. I am ...
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129 views

Cross-correlation (time-lagged correlation) for binary variables

I am looking at two time-series, one is continuous and somewhat stationary, and the other one is very sparse with lots of 0's and a few 1's. Does the traditional Cross-correlation function still work ...
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1answer
195 views

Log-Transform/Pre-Processing Time Series before Similarity Matching

I have ~1500 time series data representing store sales (US$). All time series are of the same size with 52 weeks of data with no NA values. For a subset of 18 specific time series, I want to find the ...
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94 views

detect if time series follow/lead each other

Apart from the Granger test for Granger causality, which tests whether one time series contains information to help predict the other time series, are there any methods to test if on time series lags/...
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1answer
131 views

The effect of nonlinearity trends in the data on the cross correlation

Assume we have two datasets $X$ and $Y$ and I want to evaluate the cross correlation between them. What are the effects of nonlinearity trends within each dataset? That is, are there any relations ...
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623 views

Time normalisation for time series using sliding window

As part of my research into eigenvalue dynamics of financial time series I am reading a paper which introduces the idea of time series normalisation between stocks before computing the zero-lag cross-...
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1answer
138 views

Metric for spatial auto cross correlation?

I am trying to find anomalies in time series data with geolocations. For different time intervals, e.g. for some week or for some day or for 6 consecutive months, I want to learn whether there is ...
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1answer
17 views

Is there a way to cross-correlate two timeseries, but only when one of them rises?

I'm following two timeseries: one is a setpoint, the other is the controlled output. When the setpoint rises I want the controlled output to follow quickly; when the setpoint drops, it's acceptable to ...
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60 views

Effect of down sampling on cross correlation

I have two signals X and Y. Both of them was sampled at 9600 samples / second. If I down sample X to 500 samples / second, will that effect on the cross correlation of X and Y?
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29 views

What does fractional value represent for distance correlation?

I understand that if distance correlation is 1, then it's statistically dependent but independent if 0. But if distance correlation turns out to be about, say, 0.65 or 0.5 what does that mean in ...
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1answer
157 views

Correlation Between Locations

I have two data sets both matrices of latitudes and longitudes. $A = [(X,Y),(X_2,Y_2)]$ $B = [(X_3,Y_3),(X_4,Y_4),(X_5,Y_5)]$ They are of different sizes I want to calculate by how much each of ...
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174 views

Multivariate Time Series Leading/Lagging Relations

Say I have an array of data of 10 time series $x_{i,t}$ at 1000 points in time. I wish to test the hypothesis that the first eight series are in some way a positive leading series of the other two. ...
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1k views

How to properly calculate the cross-correlation?

I'm writing a simple C program that calculates the cross-correlation between two data sets. Although I've done a good search on how the calculation should be performed, I couldn't figure out some ...
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340 views

'significance level' in a cross correlation analysis

I have time series data and applied the cross correlation function in matlab. We know that the correlation coefficients that are shown in the output are the 'best' values shown with the corresponding ...
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166 views

Measure of association for two variables accounting for absolute values and relative difference

Setting. Two different individual characteristics, $X$ and $Y$, are measured for a subject repeatedly in time. Both variables are assumed to be continuous and non-negative. I'm looking for a measure ...
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1answer
197 views

Validity of VAR model based on cross-correlogram of residuals

I have estimated a VAR model and plotted the correlograms and cross-correlogram of the residual series. The correlograms look OK: there is only one small significant correlation in each of them, but ...
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34 views

Correlation of Three Discrete Signals

I want to perform a test to determine the similarity between three discrete signals. The waveforms represent one test subject performing the same action under the same conditions for three trials, so ...
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101 views

Sensor data relationship

I have data from 73 temperature sensors in form of a time series. The data looks like: TimeStamp (minutes) Sensor1 (degrees) Sensor2 ... Sensor N 1 25 41 -5 ... ...
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176 views

Cross correlation for two non stationary time series

I have a dependent non-stationary time series and 4 independent non-stationary time series. Because of small sample size (n=11) I couldn't use regression for prediction but I want just report ...
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225 views

Cross Correlation vs. VAR Lag Selection

I have following question: When running the ccf command in R, I retrieve results for the cross-correlation of two time series. The data is monthly data, 54 ...
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226 views

How to do robust cross covariance estimation?

I would like to estimate the cross covariance of a data set but I want the estimate to be robust (tolerant to outliers). For example, if I wanted to robustly estimate the covariance of a data set, I ...
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1answer
199 views

In Granger causality test, what does very low p-value means when you know there is little correlation

I am testing a comparison between two time series to see if/how a variable Xs interacts/affects variable Ys. I have come across some cases where I use cross-correlation where I verify there is little ...
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75 views

Suggestions on correlation analysis of different time series

I have a uni project that requires correlation analysis of different time series but I don't have background in the field of statistical analysis. It's a comparison of google trends data with data ...
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1k views

Correlation coefficient of matrices (2d arrays)

I need to compute the correlation coefficient between two digital images so that I can compare those two images to test their similarities. I can convert the images either to two matrices of complex ...
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114 views

Quantifying comparison of two different field data sets for the same 3D domain

I have a 3D domain (say a cube). The cube is discretized into an array of grid points. Each grid point holds a field data (like temperature, temperature gradient etc.). I would like to see if the ...
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43 views

Lagged time series analysis

Given 3 continuous, normally distributed, independent, time-series vectors (X, Y, Z) and 1 continuous, Poisson distributed, dependant, time-series vector (A). How can I rank the independent vectors in ...
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167 views

Periodic Cross-Correlation vs Aperiodic Cross-Correlation

I am doing research in spread spectrum communication, and many papers frequently use the terms Periodic Cross-Correlation and Aperiodic Cross-Correlation. However, I cannot find a clear definition of ...
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144 views

ELI5: Cross-Covariance

Following up on this question on the difference between covariance and correlation, how would you explain cross-covariance to a layman? If possible without formulae.
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537 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)....