For questions about correlation of two random variables. Use it with [tag: random-variables] and [tag: probability].

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145 views

Random walk serial correlation

Given a model $$Y_t =b_0 + b_1 \cdot X_t + b_2 \cdot Z_t + e_t,$$ where the error term $e_t$ follows a random walk form of serial correlation $e_t = e_{t-1} + u_t$. Further assume $u_t$ has zero mean ...
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1answer
181 views

Inequality concerning the pairwise correlation coefficients of three random variables

I was asked to prove: The correlation coefficients, $\rho_{12}$, $\rho_{23}$, $\rho_{13}$ between three random variables $X_1$, $X_2$, $X_3$ obey ...
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1answer
129 views

Covariance and Correlation

Suppose there were m married couples, but d of these 2m people have died. Regard the d deaths as striking the 2m people at random. Let X be the number of surviving couples. Find: a) E(X) b) Var(X) ...
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1answer
155 views

Correlation of Indicator Variables

Show that for indicator random variables $I_A$ and $I_B$ of Events $A$ and $B$: $Corr(I_A, I_B) = Corr(I_A^c, I_B^c) = -Corr(I_A, I_B^c) = -Corr(I_A^c, I_B)$ Deduce that if $A$ and $B$ are ...
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325 views

Invariance of the correlation coefficient under linear transformations

Show that for arbitrary random variables $X$ and $Y$, and constants $a,b,c,d$ with $a$ and $c$ nonzero, $$ \mathrm{Corr}(aX+b,cY+d) = \begin{cases} \mathrm{Corr}(X,Y)\quad&\text{if }a \text{ and ...
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1answer
54 views

How can I mathematically show the similarity between these 3 plots?

I have 3 3D plots of field strength measured around an antenna. I want to calculate the mathematical similarity between the points of the field patterns. How can I do this? thanks
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54 views

Correlation coefficient, ACF,

In my book it says $\rho_x(h) = \frac{\gamma_x(h)}{\gamma_x(0)}$, which is the definition of ACF, and $\gamma_x(\cdot)$ is the autocovariance. It then should follow (under conditions of weak ...
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33 views

What values to choose for correlation?

To work out correlation I'm using the online calculator : http://easycalculation.com/statistics/correlation.php ...
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546 views

What do angle brackets ($\langle\rangle$ ) mean in mathematics/statistics (autocorrelations)?

Okay, so the logarithmic return on a stock is given by: $$r_τ (t) = \ln P(t+τ) - \ln P(t),$$ where τ is the interval of time. I have no problem calculating that. My question comes to the following ...
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154 views

Find $\operatorname{argmax}_x \operatorname{corr}(Ax, Bx)$ for vector $x$, matrices $A$ and $B$

This is similar to, but not the same as, canonical correlation: For $(n \times m)$ matrices $A$ and $B$, and unit vector $(m \times 1)$ $x$, is there a closed-form solution to maximize the correlation ...
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16 views

Correlation Based Filter

i found this paper. Im interesting in part 2.3 Feature Weighting. The correlation function is known from wikipedia and almoast clear ( i can write a function to calculate the value :) ) But now i ...
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86 views

Probability Density Function and Eigenvalue Spectrum of Correlation Matrix

My question is in the link... http://www.flickr.com/photos/88684900@N03/8654322505/in/photostream
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1answer
108 views

Is the relation of having positive covariance well behaved with respect to taking the inverse?

Let $X$ and $Y$ be two random variables, $X$ strictly positive. Assume that Cov$(X,Y)>0$. Does this imply that Cov$(1/X, Y)<0$? I know that being positively correlated is not a transitive ...
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1answer
152 views

special matrix in terms of its covariance matrix

How can we find a matrix $S\in \mathcal{M}_{n,n}$ and $Z\in \mathcal{M}_{n,m}$ whose $n$ entries of the $i^{th}$ column $Z_i$ are correlated $Z_i \sim \mathcal{N}(0,S)$ where $S \in \mathcal{M}_{n,n}$ ...
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94 views

Covariance$(X,Y) \geq 0$ if $X,Y \geq 0$?

I was wondering if you can say something about the covariance of two positive variables $X$ and $Y$?
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1answer
78 views

How to correlate the timestamps of 2 systems?

Whenever I've done (simple) correlation in the past, I've always had 2 sets of data that had "connected" axes: ...
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58 views

Is the correlation function convex or not?

Suppose the function for statistical correlation is a non linear constraint in a non linear programming model: $$ \frac{\sum_{t=1}^T (p_t - \bar{p})(R_t - \bar{R})}{\sqrt{\sum_{t=1}^T (p_t - ...
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1answer
80 views

What is the correlation function in multivariable/vectoral case?

I know that the correlation function between random variables $X$ and $Y$ is defined as $$ \rho_{X,Y}=\mathrm{corr}(X,Y)={\mathrm{cov}(X,Y) \over \sigma_X \sigma_Y} ={E[(X-\mu_X)(Y-\mu_Y)] \over ...
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2answers
760 views

What is a direct correlation?

I have two contrary definitions of for the direct correlation between two variables $X$ and $Y$ Their correlation coefficient is close to $1$. There is a direct causal relationship between the ...
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1answer
70 views

Does $0$ correlation imply independence for marginally normal distributions?

Assume $X \sim \mathcal N(\mu_1, \sigma_1^2)$ and $Y \sim \mathcal N(\mu_2, \sigma_2^2)$. If $\rho_{X,Y} = 0$ then $X \bot Y$. Can someone give a hint why this is true ?
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37 views

Sorting Vectors based on their correlation

This problem [question]: Sort vectors according to their distance between them is about sorting vectors based on the distance between them. What about sorting vectors based on the correlation ...
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1answer
85 views

The science of pearson product moment correlation coefficient

I need to compare two sound signals for similarity, I took cross-correlation of both the signals and I got a cross-correlation signal, now I intend to use pearson correlation coeff formula to get the ...
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1answer
170 views

Pearson Correlation Coefficient Interpretation

Let $X=(1,2,3,...,20)$. Suppose that $Y=(y_1,y_2,...,y_{20})$ with $y_i=x_i^2$ and $Z=(z_1,z_2,...,z_{20})$ with $z_i=e^{x_i}$. Pearson correlation coefficient is defined by formula \begin{equation} ...
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1answer
97 views

correlation between two different variables

I am studying stochastic processes and found the next problem: Let $A$ and $\Phi $ be two independent random variables such that $E(A) = 0$, $E(A^2) < \infty$, and $\Phi$ is uniformly distributed ...
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1answer
205 views

Intraclass correlations can be negative, yet they are a ratio of two variances (which are positive)

Estimates of intraclass correlations can be negative, yet they are a ratio of two variances -- the variance of the means of the classes to the variance of the entire set of values. What is a neat ...
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49 views

Correlation bound

Let x and y be two random variables such that: Corr(x,y) = b, where Corr(x,y) represents correlation between x and y, b is a scalar number in range of [-1, 1]. Let y' be an estimation of y. An ...
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605 views

quadratic relationship

Detection of linear relationship is possible with correlation coefficient. If absolute value of correlation coefficient is 1, then the relationship is linear. Is there any way for detecting quadratic ...
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1answer
97 views

Relationship between Correlation and Bayes Theorem

Is there some relationship between the correlation of two random variables, and Bayes Theorem? A bit of background intuition, if W = random variable denoting number of women in a room, and L = ...
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22 views

Estimating the likelihood of independence of two discrete variables using the co-occurrence count matrix.

I have some data about users from different regions visiting different directories of some website. Aggregating that data I get the co-occurrence frequency matrix (for regions and directories). Now I ...
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199 views

Pearson correlation and metric properties

Assuming that the data set was $z$-standardized to zero mean and unit variance (also assuming that it does not contain constant vectors). Then Pearson's r reduces to Covariance: $$\rho(X,Y) := ...
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42 views

Correlation Coefficient dealing with discretely distributed variables

I'm a bit stuck on this practice problem I have for my HS business stats class. I'd appreciate any help to get the solutions. Thank you. Exercise #22: Let X and Y be discretely distributed random ...
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3k views

Correlation between three variables question

I was asked this question regarding correlation recently, and although it seems intuitive, I still haven't worked out the answer satisfactorily. I hope you can help me out with this seemingly simple ...
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163 views

Cross-Correlation (and finding Correlation error ) of two digital sequences.

In a IEEE paper, I saw a formula for WUInt(ti+1) as , Reference : ...
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1answer
56 views

Find data to perform regression analysis

I'm trying to find some data (two continuous variables that I believe are correlated) online for which I can perform a regression anaylsis, my assignment sheet says: The data may be found anywhere ...
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86 views

Compute significance of Kendall tau-b?

I have so-far tried all ways of computing kendall tau significance (where there are ties) described here. However, none of them works good, even for relatively large vectors. I think the problem is ...
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1answer
122 views

Autocorrelation of wrapped Wiener process

Let $\phi(t)$ be a Brownian Walk (Wiener Process), where $\phi\in[0,2\pi)$. As such we work with the variable $z(t)=e^{i\phi(t)}$. I would like to calculate $$E(z(t)z(t+\tau)).$$ This is equal to ...
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2answers
419 views

Time series and social network analysis

I am interested about plotting graphs of a phenomenon and study it using tools from social network analysis. Suppose the nodes are time series, and that the links between the nodes are the correlation ...
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156 views

Autocorrelation derivation using fourier transform

I am stuck with basic understanding of the Auto-correlation derivation of a simple signal and I would be pleased if you could help me out with that. Lets have a signal $x(t)=\cos(2\pi{f_{0}}{t})$. ...
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2answers
166 views

Relationship between variances in perfect correlation

I have two random variables $X$ and $Y$ with mean and standard deviation $(\mu_1,\sigma_1)$ and $(\mu_2,\sigma_2)$ respectively. I know that for perfect correlation the relationship is given by a ...
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1answer
163 views

Find correlation of x and y, given E(Y|X) and E(X|Y)

Suppose that X and Y are random variables such that E(Y | X) = 7 - (1/4)x and E(X | Y) = 10 - Y . Determine the correlation of X and Y . Edit: So far I've got E(x)=4 E(y)=6 Now I'm trying to ...
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1answer
120 views

How to increase the correlation?

I have three vectors of numbers with the same dimensionality, $A$,$B$ and $C$. What is the most suitable number $x$, which maximizes the correlation of $A$ and $B+xC$ . To what extend can I increase ...
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54 views

How to find function coefficients

I'm not an expert in math but I need to solve the following task: I have several functions: $$ f(t)=k_1 f_1(t)+k_2 f_2(t)+k_3 f_3(t)+ \dotsc +k_n f_n(t) $$ Also I know all the functions' values: ...
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1answer
52 views

How can I show that $z_i =\cos(iw)$ where $w$ is uniform on $[0,2\pi]$ is a white noise process?

How can I show that $z_i =\cos(iw)$, where $w$ is uniform on $[0,2\pi]$ is a white noise process? So far, I have shown $E(z_i)=0$ by integrating. However, I need to show ...
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2answers
267 views

Step by step correlation calculation

I must understand how I can calculate the correlation for the following probability variables. ...
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248 views

Linear vs non-linear Correlation

How do i check that two random variables satisfy the requirements for computing correlation via Pearson or Spearman? If the data is non-linear/ non-Monotonic, are there other tests i could use to ...
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93 views

Correlation between an event and a time series

I have a time series, e.g. the daily number of visitors on my blog. I have a set of events of some class, like the days when I made a new posting. I want to measure the effect of a new posting on the ...
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2answers
627 views

Determinant of a N symmetric square matrix with diagonal 1

What is the determinant of a symmetric $n \times n$ matrix with all diagonals be 1 and all others are $\rho$ (yes correlation matrix)? Anyone can tell me a method to work it out elegantly? Thanks!
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481 views

Eigenvalue decomposition of block covariance matrix for Canonical Correlation Analysis (CCA)

Edited: My question is related to a tutorial I was reading. The covariance matrix is a block matrix where $C_{xx}$ and $C_{yy}$ are within-set covariance matrices and $C_{xy} = C_{yx}^T$ are ...
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1answer
110 views

Independence of quadratic forms

Let us consider the quadratic form $$q_1 = \mathbf{x}_1^\mathrm{H} \mathbf{A}\,\mathbf{x}_1 $$ and the quadratic form $$ q_2= \mathbf{x}_2^\mathrm{H} \mathbf{A}\, \mathbf{x}_2 $$ where ...
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3answers
148 views

Prove dot product will get maximum

If we have two identical sets $A_1 = A_2 $, and we were asked to get the maximum sum of multiplying one distinct element from $A_1$ by another distinct element of $A_2$, for all elements in $A_1$. ...