Questions tagged [cross-correlation]

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

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Cross correlation function in more than one dimension

The cross correlation function is $CCF(\tau) = \int f(t)g(t+\tau)dt$ My question: are there any extensions to higher dimensional spaces? For instance, assuming space dimension $x$ is orthogonal to ...
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43 views

Correlate incidence rate with number of cases

As title says, I want to see how well incidence rate (over a period of years) of a disease compares with number of cases of a certain procedure (over the same period of years) used to cure it. How ...
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923 views

Cross-correlation of two autocorrelated signals (removing autocorrelation with ARIMA)

I want to get the cross-correlation of two time series x and y in R. I have calculated an ARIMA model, and I can get the ...
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135 views

Finding causality and cross correlation of multiple variables in time series

I'm new to time series. I have 24 variables in a monthly measured time series from 2009 to 2015. The time series measures how much production data that is registered in a ERP system and are ...
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109 views

Compare if a time series is more correlated to the time series in a group than to the time series in another group?

Given a time series $T_0$, group 1 of time series $T_{1,1},...,T_{1,n_1}$ group 2 of time series $T_{2,1},...,T_{2,n_2}$, ... group m of time series $T_{m,1},...,T_{m,n_m}$, what are some ways to ...
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128 views

chicken egg problem

I should run a test to determine whether variable A affect variable B or viceversa. What type of test should I use? Imagine that we measure the time slept per night (A) and the activity performed ...
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42 views

Consistent estimate vs out-of-sample performance

When there is a cross-correlation structure in linear regression errors, the usual approach is to model the errors as an ARIMA process. It leads to a consistent estimate of the parameters of the model....
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1k views

Cross- correlation between two non-stationary time series

I have two time series that are growing together. I want to measure if these series are growing similarly together with some lag. Originally, I was thinking I would just take the cross-correlation ...
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77 views

cross correlation of partially correlated signals

I measure $x(t)$ and $y(t)$, two stationary random signals, and I want to find out if, and how much, they are correlated. What I'm doing is to plot the cross correlation ...
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151 views

Analysing the correlation between two trends

I've got 2 growing trends. One is the input (the number of published articles on a website) and I want to understand if the other appears to be correlated (the number of daily visitors). The problem ...
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527 views

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 ...
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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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108 views

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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1k views

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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65 views

How can I specify cross-correlations between differential equations?

For my Master thesis I want to model co-movements between two commodity forward curve. First, I specify the model for a single forward curve $F(t,T)= \bar{F}_0(t)e^{s(T_i)-y(t,T-t)(T-t)}$ where $F(t,...
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Correlation coefficient in longitudinal data

We are performing a longitudinal analysis over different characteristics (variables) of a single subject of analysis. Our goal is not to make any predictions, but rather analyse correlations among ...
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470 views

Cross-Correlating more than Two Time Series

this is my first post to stackexchange, I have read many solutions, especially to programming questions in R and have appreciated their helpfulness. Currently I find myself stuck with a time series ...
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337 views

Practical meaning of expected value, standard deviation & correlation

We've got given annual results of two stock companies described with following values: Company X: expected value $\mu_X=0.05$, standard deviation $\sigma_X=0.02$ Company Y: expected value $\mu_Y=0....
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1answer
4k views

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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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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283 views

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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257 views

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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817 views

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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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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137 views

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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3k views

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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971 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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3k views

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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31 views

When is it reasonable to assume that the covariance matrix is positive definite?

I know that any covariance matrix must be positive semi-definite, but are there any regimes where it is reasonable to assume that covariance matrix is postive definite. I want to use this to be able ...
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111 views

How to analyze Time-Series data?

I am currently writing my masters thesis and have some difficulties with the statistical part of my research. I am new here, with limited knowledge in econometrics. I want to analyse the ...
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363 views

Cross-correlation gives autocorrelation in R?

I am not very familiar with cross-correlation analysis. I am analysing a large number of "paired" time series. For each pair, I am doing a ccf in R. I read in other posts that the horizontal line ...
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3answers
128 views

Variance of average due to correlation between auto-correlated time series

I want to calculate the average value of $n_i$ time series each of length $n_t$, i.e. an average of $n_i \times n_t$ values, together with a measure of uncertainty. To be more concrete, I have $n_i\...
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988 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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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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Correlation between two distances (distance matrixes)?

Premise: I have a dataset of elements for which I have a representation in 2 different spaces, a "latent" space and the original space (I can move between those with an Autoencoder neural network). I ...
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37 views

Lags in Cross-Correlation function

Having the following CCF from the residuals of 2 modelled series, which lags should be taken into account to explain how positively or negatively $x_t$ and $y_t$ are correlated? Zoom out
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Cross Correlations Reversed - SPSS and R

I'm wondering if anyone else has noticed that cross-correlations are reversed between SPSS and R. Here is an example of the exact same data run in both R and SPSS (V23). Note how the the axis is ...
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365 views

What metrics can be used to evaluate similarity performance of a regression model?

I've used neural nets to learn a trajectory and the learned model is giving 'fairly reasonable' prediction when compared to my test data. My question is on evaluating this model. I've seen Mean ...
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106 views

Spectral density of square of AWGN

Additive white Gaussian noise (AWGN), $w(t)$, is usually modeled with the following assumptions For a given $t_0$, $w(t_0)$ follows a normal distribution and $R_{ww} = \sigma^2 \delta(t)$, where $\...
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167 views

Efficient way to detect outlier peaks in periodic signal

I have a set of traces (1D array), and i need to align them, the problem is that, using generic methods ( cross-correlation, dynamic time wrap), would be very slow to align 1 million trace, each with ...
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What test shall i use to see if one disease has any relation with other

I am using data from this website (data is at the bottom of the page) for a case-study. For the sake of question lets stick to any of FluWatch sheet say FluWatch-Alberta. I am coming up with a ...
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158 views

What can be concluded cross correlation of two time series is high at some lag?

If cross correlation peaks at a very high value at positive lag, it does not imply process in time series A causes process time series ...
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400 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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581 views

How do I cross-correlate timestamps?

Cross-correlation compares the correlation between two time series at different time lags. Normally, this is done when the time series are represented as time series, i.e. vectors of signal magnitude ...
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692 views

Cross-correlation with Spearman's method

I am trying to calculate the cross-correlation between two time series. I know that ccf in R base can slove this problem and it uses Pearson's correlation method. My question is: How can I calculate ...
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560 views

Detrended Cross Correlation in R

I am looking at determining the relationship between two non-stationary time series, i.e. monthly cost and sales for a period of ...
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255 views

Quantification of the extent of periodicity in a time series using fractal analyses

I need metrics to quantify the extent of periodicity between of a time series (for comparison with other time series), considering the time series is almost periodic. By almost periodic I mean: if I ...
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2k views

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 ...