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

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I have a semi-Markov process in which the time between states is log-normally distributed, but with parameters that depend on $n$ (the mean and variance are state-dependent). In other words I have the ...
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I have got a set $T = \{t_1, t_2, t_3, ...\}$ that contains some stock prices time series. I am trying to find a way to construct a new set $S \subset T$ that satisfies the following characteristics: ...
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Context I have a roughly periodic signal $x_n$, and was going to do a cross correlation of a small segment $s_n = \{x_n\}_{n=n_0}^{n_0+N-1}$ with the rest of the signal $$(x \star s)_k = \sum_{n=n_0}^...
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I would like to have a reliable measure of similarity between several time series. These represents swap rates of different currencies. I would like to start simple but also make sure I am not missing ...
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Let's say I have two signals $A$ (blue) and $B$ (red), of length $M$ and $N$ respectively, and $N<M$, like this (I've constructed this example to be a worst-case representation of the problem I'm ...
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I have a large dataset including the following variables: year (discrete from 2000 to 2020) country (~100 countries) ...
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I've recently started studying cross-sectional dependence in panels from Pesaran's (2015) book, and I’d appreciate your help in developing an intuitive understanding of the concepts. Here’s a summary ...
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I have to do the calculation of a crosss-spectrum between two signals. I read the post "Spectral Analysis in R - the periodogram" and I understand why the periododram is symmetric. In the ...
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To perform an experiment, I need to construct a collection of $n$ binary sequences of length $T.$ Example consisting of $n=3$ and $T=20$: $ \begin{bmatrix} 0&1&1&0&0&1&0&1&...
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I want to create a set of Gaussian processes that are correlated. Presently I understand how to generate a Gaussian process using which I am able to generate a sequence of length T. I do this by ...
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Is it "kosher" to use Spearman's correlation in place of Pearson's in the cross-correlation function? Basically, I have used the cross-correlation function to determine correlation over a ...
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I'm trying to do a time series analysis, but I'm new to this topic and I need help. I have a multivariable time series and I would like to do an analysis of the relationship between them. I have done ...
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I have to measure the cross-correlation between different time series in my dataset. The dataset contains 9358 instances of hourly averaged responses from an array of 5 metal oxide chemical sensors, ...
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I'm looking at a panel of observations where, for each column (15 sets of Y) in time series, I'm running individual OLS's to estimate each slope against a common (1) X variable. I now have the 15 ...
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I have 6 temperature sensors (columns) located at different places. Each one offers a measurement each hour. I have $168$ measurements (rows). I am working on python and I have already used the ...
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My data is a pair of points (x1, y1) & (x2, y2) [Just in case it's relevant, I explain how the data is created at the end]. I know how the data points are correlated. For a GLS (generalized ...
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I have a dataset of Tweets regarding a given topic (extracted by predefined keywords and hashtags). I aggregated the Tweets in bins of time (e.g. every ten minutes) to generate a time series of the ...
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This question might not be completely well defined mathematically, but if so I am hoping that people can help point me in the right direction, since this is not a part of mathematics I have ever had ...
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In my project I generate synthetic energy demand data using a neural network. I want to check the cross-correlation of those two time-series: the original and the synthetic one. I found, that the ...
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I am trying to become more familiar with time series analysis. I am reading through Dangers and uses of cross-correlation in analyzing time series in perception, performance, movement, and ...
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Consider a generalization of inverse-variance weighting, where we choose normalized weights $w_i = \dfrac{\sigma_i^{-p}}{W_p}$ for some $p\geq 1$, where $W_p \equiv \sum\sigma_i^{-p}$. Then $p=2$ ...
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I am attempting to perform a CCF analysis between a predictor time series(P_a_cm) and a response time series (delta_total_cm) which represent annual precipitation and annual water table elevation ...
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I am struggling analyzing the correlation between two variables in my experiments. It turns out that I now that when the SNR of the signal (the definition of the signal with respect to the noise) is ...
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I’m trying to fit an ECM-GARCH-DCC model for 2 time series, the whole 3 in the same time using log-likelihood estimation. It has 14 parameters to estimate: ECM has 2 gammas and 1 lambda per time ...
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Data: I have 1000 independent time series. Each of these 1000 contains two variables A & B. Goal: My goal is to find out whether there is a statistically significant correlation between A & B ...
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Suppose I'm measuring concentrations of gas over time as well as relative humidity. How can I find the correlation between time series? The author suggests Pearson's correlation and the Cross ...
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I have a dataset with ~6k data points. Each data point has two labels, both categorical (unlike measuring temperature from cold, warm, to hot, my labels in the same category is totally non-continuous)....
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I am new to cross-correlation and I'm running an analysis where I'm trying to see if Mentions_t can predict Calls_t at a later date (lags are in days). I got the following results and I am having ...
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I have collected time-series data from a few hundred people. For each person, I have two measurements that I am interested in correlating. Specifically, I want to identify the time point at which ...
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I have a dataset where I have two recordings (sessions) of two different variables. ...
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My data has the following form: ...
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Paper here, please open using Incognito tab: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=236998 press "Download this paper" button Let me sum up the core of that paper in simple ...
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Objective: Estimate the mechanical tension of a cable using the velocity of the waves travelling along it. Experimental setup: I have a cable in tension equipped with accelerometers. I measure a ...
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Let's say we have two random variables a and b, which are correlated. Will their cumulative sums (A and B) be correlated too? I find it logical that corr(A,B) = corr(a,b). I am bit rusty in my ...
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Say we have an arbitrary real matrix $M$. I am wondering if we can find a cross-correlation matrix that has the least square distance to $M$. In other words, $$\min_{A,B} \|M-A^TB \|^2_F $$ s.t. $$...
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Suppose I have I have vectors $x_1,\ldots,x_m$ in $\mathbb{R}^d$, with $\|x_i\|=1$ for all $i$ Is there a name or statistical/geometric interpretation of the following quantity? $$\sum_{ij} \langle ...
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I have time series data and I am confused about the output of correlation and cross correlation. This is my data: ...
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Context I'm following Lewis (1995) exposition on normalized cross correlation for template matching (Section 2). The cross-correlation of the image and the feature at $u,v$ is denoted by $c(u,v)$ and ...
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I am aware of Granger causality, cross correlation, and simple methods of computing correlation at each lag/lead timestep. However, I have a dataset with 1000s of users each with a potential lag/lead ...
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I have a dataset with 200 variables. Each row of my data represents the quarter results of a company. I want to know if variable X is linearly related to variable Y. I computed the correlation matrix ...
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I have a question which I fear might be simple but i am completely unable to figure out. Lets say we have a time-series of a vector of coordinates which define a molecule ( column vector of x,y,z) ...
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Is the vector-autoregression applicable to two series with Granger causality or stationary series where the cross-correlation plot is negative at some parts and also positive in others? If that's the ...
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Should one look at cross-correlation plot before performing Granger causality test to avoid type I errors? If we can't find any dependence between two series from the cross-correlation plot, then ...
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library(astsa) soi= scan("soi.dat") rec = scan("recruit.dat") soi=ts (soi) rec = ts(rec) ccfvalues =ccf (soi, rec) ccfvalues Reproduce these ...
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So far I know, the cross-correlation of two time-series $a(t)$ and $b(t)$ for which $N$ observations are available is given by $r^N(\tau)=\frac{1}{N} \sum_{t=\tau+1}^Na(t-\tau)b(t)$, where $\tau$ ...
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I am working on a data science project on an industrial machine. This machine has two heating infrastructures. (fuel and electricity). It uses these two heatings at the same time, and I am trying ...
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I have been trying to understand statsmodels.tsa.stattools.ccf, the cross correlation between two random vectors and I tried ...
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I am working with time series data and am currently using cross correlation on my data. I can use different techniques like spearman, pearson, and kendall. I was wondering if beyond that, there are ...
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Suppose $f$ and $g$ are real. Why $$ C(\tau)=(f\star g)(\tau) = \int_{-\infty}^{\infty} f(t) g(t + \tau)dt \tag{1} $$ and not $$ C(\tau)=(f\star g)(\tau) = \int_{-\infty}^{\infty} f(t) g(t - \tau)dt\...
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As shown in this Cross-Validated post Close curves on an Andrews plot I don't understand how, in the accepted answer, the cross-covariance can be defined as, $$\int_{-\pi}^{\pi}f_xf_ydt$$ Considering ...
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