Questions tagged [cross-correlation]
A measure of correlation between different time series, at the same or different times.
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Constraints on cross-variograms and correlation range under second-order stationarity
Consider residuals from two models evaluated at times $t_i$ and $t_j$.
Let $e_i(s)$ and $e_j(s)$ be second-order stationary residual fields.
Define the cross-covariance, cross-variogram, and cross-...
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Generating correlated random numbers with non-identically-distributed random variables
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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Finding subset of least correlated time series from a set of time series
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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Cross-correlation (dot product) vs residual sum squares (L2 norm)
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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Similarity between time series using GARCH residuals
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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Using cross-correlation to find signal delay
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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Analyzing epidemiological variables across years, countries and diseases
I have a large dataset including the following variables:
year (discrete from 2000 to 2020)
country (~100 countries)
...
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Asymptotic Theory in Cross-Sectional Dependence
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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The cross spectrum calculation: spec.pgram function in R
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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Measure of correlation between binary sequences that were generated using a gaussian process
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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Creating correlated Gaussian processes
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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Cross-correlation function using Spearman's correlation
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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Causality analysis in time series
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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Cross correlation between time series
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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Standard Error of a Mean of Standard Errors
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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