# Questions tagged [cross-correlation]

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

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### Formatting Time-series data for Cross-correlation

In an experiment we measured 100 response times for each subject. The data has the following format: ...
4k views

### 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 ...
135 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 ...
2 views

### Why assumption of negligible cross-correlation between missing points is important for PSD estimate

In this paper they propose a method for estimating the Fourier transform (FT), and therefore the power spectral density of a time series with one or more missing points. They do this by inserting ...
13 views

### Fisher transformation

I am currently working with panel data, namely its correlations. The data is three-dimensional. I am looking for a way to aggregate the correlation coefficients. I found a model which uses the Fisher ...
11 views

### Bayesian Comparison of Dependent Correlation Coefficients

I would like to compare the correlation coefficients from two different models of the same data points. One of them is the raw bivariate data (Value vs Time), and the other is given a biologically-...
25 views

### Correlation between two time series data: absolute values vs difference?

I have a dataset of different brands, their market share and retail price avg. I am trying ...
23 views

### Interpreting Normalized Cross Correlation

I'm having difficult understanding how to interpret a normalized cross correlation after using the function in Matlab for my research project. I've read through the Matlab help page and several other ...
38 views

### Comparing Numerous Macroeconomic Time Series in R with Varying Stationarity

I have a TS object in R with 78 variables. These all represent different macroeconomic indicators. The last variable is a balance of some kind that I want to compare each of these indicators. ...
28 views

### Finding related variables

I have read this and this question, but non of them answers my question properly. I am not very familiar with concepts of stat, so please bear with me. I have 2 types of variables, type A (circles) ...
145 views

### Interpretation of CCF plot from R

I am analyzing two time series, and when I used the ccf function, I received this output: I am pretty confused. I do not have too much experience with time series, but this looks weird to me. What ...
10 views

### correct for multiple testing on correlated data with NaNs

First of all, I'm not a statistics expert, so I hope I can describe all relevant details of my problem: I'm working with a dataset consisting of subject age (1st column), 13 ordinal scaled parameters ...
22 views

### Implementation of Hypothesis test on R² for regressions in cross-sectional setup

I am confused by the paper of Kan et al. (2013 - "Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology") which proposes the execution of hypothesis tests on R² of ...
40 views

### Considering cross correlation with timestamp

As far as I understood, to compute the cross correlation between two time series, we just consider the values of the time series, i.e, cross correlation ignores the timestamps of each data points in ...
26 views

### Autocorrelate relative difference between two time series

I would like to verify the similarity of two time series. So far I have resampled and interpolated one time series, so that the two have synchronous time. Next I have computed the relative difference ...
9 views

### Defining error safety in cross correlation of two binary signals

I want to cross correlate two binary signals, where one is currupted by noise and shifted by a timeconstant tau, but has the same bit pattern (so basically an auto correlation). Similiar to case 2 in ...
4 views

### Correlation fails on high sampling rate vector

I am trying to find the time shift between two vectors. My function succeeds on randomly generated vectors, but fails on small shifted, high sampling rate vectors. my code: ...
17 views

### Why does cross-correlation function ccf in R have nonzero values?

When I try to compute the cross-correlation function between two vectors c(0, 0, 0, 1, 0, 0) and c(0, 1, 0, 0, 0, 0) via ...
11 views

### Checking auto correlation and cross-sectional dependence of a variable

I have a variable consisting of a sample panel of 500 ids and 120 timestamps. I want to assess whether there is any auto correlation and cross-sectional dependence for this variable. Please suggest ...
9 views

### Quick test for significant difference in portions (and mean/average) between several group and likelihood?

I have a number of demographic and economic variables – both categorical and continuous – for a few different groups, one is a subset of the other. Estimates derive from IPUMS microdata from which I ...
38 views

### Causality logic appears reversed. What's the explanation?

In reading Detecting Causality in Complex Ecosystems I came across the following passage: Our alternative approach [...] tests for causation by measuring the extent to which the historical record ...
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### A tool to find cross-correlations between large set of metrics

Given a table with hundreds of records each with the same number of factors (about 1000), I would like to be able to produce a report that shows which factors self-correlate in pairwise fashion or in ...
55 views

### XY Graph from two time signals

I have two measurement signals (let's say a voltage signal and a current signals), both with timestamps and corresponding values. The timestamps of the two signals doesn't match up and aren't evenly ...
22 views

### Cross Correlation

Given that my variables exhibit non-stationary (i.e lrgdp and lop) and I intend on estimating a VAR model, would it make sense to correlate them in their first differences instead (dlrgdp and dlop) ...
28 views

### what are cross correlations and why these cross correlations provide spurious results if two series are integrated?

I am much confused in CCF and how these provide Spurious results and why? Can any one help me. I'll be much thankful.
45 views

### Comparing two groups of time series correlation coefficients?

I have two groups of data, each consisting of 100 correlation coefficients. I am interested in essentially seeing if the correlations in group 1 are stronger than group 2. However, I am unsure of the ...
621 views

### Preparing data for cross-correlation time series

I have several data sets with air quality measurements for 20 locations. The measurements were done per second over a period of two weeks, 5 locations per period (because there were only 5 instruments)...
202 views

### Can you do LASSO with panel data that has cross-correlated errors?

suppose that there are observations of stocks return for firm i in 1..N date of observations t in 1..T The error structure is such that cov(epsilon_it,epsilon_jt) are far from zero. An important ...
63 views

### To standardize or not to standardize in cross correlation

I am new here. My question is simple. Why doesn't the definition of cross-correlation between two time series include a mean centering? Wikipedia defines the cross correlation of two functions as the ...
48 views

### Cross Correlation between two RVs and PCA

What is the difference between the maximum value of cross-correlation value of RVs X, Y and maximum eigenvalue of Covariance matrix of these same RVs X and Y? Are both same and just represents the ...
79 views

### Correlation of time-series at specific timestamp

Suppose, I have several hundred time series that are originating from one system and probably correlate. Now suppose, one of the signals, lets say signal A, shows strange behavior at several ...
393 views

### What is the Identity of a convolution layer in a Neural Network?

I wanted to know what the identity of a convolutional layer of a neural network was. For standard convolution operation in mathematics the identity is the delta function, however, convolutions in ...
83 views

### Time series correlation between industry and MSCI ACWI index

I have daily return data of 11 sectors of MSCI World Index and the MSCI ACWI index. I want to know the stationarity of correlations between the sectors and MSCI ACWI index. This is what I have done: ...