Questions tagged [cross-correlation]

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

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937 views

Formatting Time-series data for Cross-correlation

In an experiment we measured 100 response times for each subject. The data has the following format: ...
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3answers
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 ...
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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 ...
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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 ...
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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 ...
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0answers
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-...
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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 ...
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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 ...
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1answer
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. ...
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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) ...
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1answer
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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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: ...
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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 ...
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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 ...
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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 ...
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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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8 views

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 ...
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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 ...
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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) ...
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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.
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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 ...
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1answer
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)...
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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 ...
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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 ...
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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 ...
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1answer
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 ...
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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 ...
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1answer
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: ...
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1answer
90 views

Is cross-correlation valid for time-series such as these (with trends)?

I have lots of pairs of timeseries e.g.: I am trying to get an idea of how correlated they are (the black fit lines rather than the data themselves). I thought that one way to do this would be to ...
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299 views

PCA and correlation between observed variables and principal components

In principal component analysis, the correlation between the i-th principal component ($y_i$) and the random vector of observed variables x (of dimension $p$) is defined as: $corr$( $y_i$ , x ) = $\...
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In prewhitening, should we develop an ARIMA(p,q,d) for X but use only ARI(p,q) as the filter?

According to the answer in this question by IrishStat, the reason that you pre-whiten X is to identify a filter that can transform Y and X into y and x where x is white noise. Assume that X is ...
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48 views

How to quantify correlation between two non-Gaussian AR(1) time-series?

I am trying to understand the need for lateral transshipment within the same echelons in our supply-chain. Lateral transshipment would be more helpful if the stock-levels at two stocking-points are ...
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425 views

What would be the example of a 2D crosd correlation?

1D cross correlation is the correlation between two 1D vectors. 2D cross correlation is the correlation between two 2D matrices I was reading this link which talks about 1D cross correlation. Can ...
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1answer
156 views

Combination of cross-correlation and t-test

I have a coarse and noisy image data taken from two different but geometrically similar samples (pixel size are all the same). I want to prove that there is a statistically significant differences ...
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1answer
29 views

Binary classifier for cross-related and time-varying points?

Suppose one has $N$ sensors labeled $1,2,3\dots$ arranged in an equally spaced grid. For each point you have a measurement that can vary in time $X^{i}(t), i \in {1,2,3\dots}$. The point $A$ needs ...
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2answers
84 views

How to sort multiple time-series based on “shape”?

Consider the following toy data: All prices have been normalised using $${Price_{Norm} = \frac{Price_{current} - Price_{Min}}{Price_{Max} - Price_{Min}}}$$ Item : Prices Apples : 0.0, 0.4, 0.8, ...
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1answer
366 views

Measuring negative correlation of time series?

Following case: We have one time-series A trending upwards. We have one time-series B trending downwards. Is there any good way to measure their relationship? Making them stationary by first ...
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1answer
33 views

Compare two distributions with varying focus on different regions

I have been trying to find if my problem matches has been discussed in prior research and if any technique exists to solve it. Here's the problem: Given two distributions (pdf) D1 and D2 over a ...
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1answer
59 views

Event data correlation

I have two sets of data from two different types of sensor. For each instance a sensors output exceeds a threshold the amplitude and time is it is logged as an event. Thus each event consists of a ...
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Does possible autocorrelation in data affect simple correlations?

I have a question concerning autocorrelation in data affecting correlation coefficients. Consider a time series of stock returns (e.g. 10 trading days) of different stock markets (A, B, C and D) and I ...
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163 views

Can I use correlation metrics also for time series?

I was using the cross correlation function in R (ccf) until now to discover correlations and lags between two time series. I was wondering if I can use all other ...
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1answer
553 views

Similarity between two samples (2D matrices)

I have two matrices: A= 4000x78 where 78 is the dimension of features and 4000 is the number of samples. B= 1000x78 where 78 is the dimension of features and 1000 is the number of samples again. ...
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Cross correlation using photographic film

I used to work for a guy who told me about working for an oil company, probably in the 1960's, doing cross correlation work by sliding two pieces of developed film strips across each other (maybe they ...
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1answer
71 views

Matching two power signals for similarity

Below are the images of two signals that i plotted. Both the signals are from fridge belonging to different houses. Visually looking at the plot i can tell that these plots belong to fridge as they ...
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340 views

Cross correlation in Stata

I have a cross sectional dataset of investment figures (in $) and a set of dependent variables. The data relates to various years (2000-2013). More than one investment is included in the dataset for ...