# Tagged Questions

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

1answer
149 views

### How should I calculate a rolling autocorrelation?

I have an array of data $\mathbf{y} \in \mathbb{R}^n$, and I need to calculate the lag-1 autocorrelation between sections of this array 7 elements long. For all intents and purposes, we can imagine ...
1answer
42 views

### Do 'X' and "y' have 'zero' correlation , or can be anything between '-1' and '+1'?

let , we have bi-variate data on X and Y . Now corresponding to the value $x_0$ , y can take any value.but for all other values of x , y takes a constant value. what will be the correlation between ...
0answers
41 views

### Non-orthogonal space

What does the angle between two non-orthogonal basis denote? Is it correlation or some measure of dependence. Does that mean that coordinates of a point if moved in the direction of one axis also ...
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45 views

1answer
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### Does correlation (PMCC) require variables to be normal

When calculating product moment correlation coefficient between two variables, say height and weight, is it necessary that the variables are normally distributed for the PMCC to be valid/relevant. I'...
1answer
27 views

### Statistics for correlations with many (0,0) values

Suppose you have a large but finite collection of tweets. You want to know whether talking about football tends to correlate with talking about basketball. You can generate a table for a few hundred ...
0answers
26 views

### Question about the relationship between correlations

I am trying to figure out the relationship between correlations of variables where one of the variables defined as the difference between two other variables. I have variables x and z, which are ...
1answer
32 views

### Finding peaks and oscillations in a signal

I am working on a problem where I'm analysing a signal and trying to find a measure of whether a roughly Gaussian shape appears or oscillations - though the oscillations may not be periodic. For ...
1answer
44 views

### Law of large numbers with correlated variables

My sample is a series of measurements of the variable $x$. Measurement t, $x_{t}$, is correlated with $x_{t-n}$. However, as n tends to infinite the correlation tends to zero. If the sample grows, ...
2answers
68 views

### Correlation in scatter plot

This may be a very basic matter for statisticians, but I still have no intuition for this sort of thing. Here goes: I have two quantities (the nature of which is irrelevant) which I suspect to be ...
0answers
55 views

### Calculation the Correlation Matrix of a Random Observation Vector

I've googled and looked around on StackExchange but I can't quite find the answer. I'm trying to calculate the correlation matrix R. Below I've included a screenshot of some text that explains how. ...
0answers
37 views

### The correlation between alpha and beta

Consider the following 2-variable linear regression where error $e_i$'s are independently and identically distributed with mean 0 and variance 1; $$y_i=\alpha + \beta (x_i - \bar {x}) + e_i$$ where ...
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43 views

### How to convert principal components of a $2\times2$ covariance matrix into principal components of a correlation matrix

All, I am wondering if there is any way to mathematically express the change in direction of the principal components from the $2\times2$ covariance matrix to the correlation matrix. In other words, ...
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39 views

### Data analysis: How did people beat the Great Hall game?

This is the game: There is a Great Hall with 102 doors. 100 of these doors lead to one of 100 different side rooms. The 101st door, at the end of the Great Hall leads to the Great Tower, where ...
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### Is there any reason that cross correlation would perform well or poorly on sparse binary arrays?

I am using matlabs xcorr to correlate simulated photon count data that has some Gaussian random noise set on top of it and it is working fine when the average value in the arrays is greater than one ...
1answer
31 views

### Which type of correlation should I use?

I am beginner in statistics. I have excel table with few columns. I would like to find correlation between the variables. I have to make an essay to my boss and he wants concrete answers. I searchin ...
1answer
295 views

### How to curve fit an unknown function?

I have data which can be described by $y=f(x,z)$ where $z$ varies from 170 ~ 154. Now values given by $ks$ are known sample values that equals value given in the table header, $uks$ are unknown ...
1answer
252 views

### Is it valid to get a correlation between moving averages?

I have a 10 day moving average of one set of return data for one stock and a ten day moving ave of another stock. 400 data points and correlating 390. Can I now get a correlation between the two or ...
0answers
36 views

### Relationship between distributions of correlations $\rho(X^1,Y^1)$ and $\rho(X^2,Y^2)$ if $X^2=WX^1$, $Y^2=WY^1$ and $W$ is a known stochastic matrix?

I have been stacked for a while with the following problem: Consider two samples of iid observations $X^1=\{X_1^1,\dots,X_n^1\}$ and $Y_1=\{Y_1^1,\dots,Y_n^1\}$ where $X_i^1 \sim \mathcal{N}(0,1)$ and ...
0answers
64 views

### Let $U=2X$ and $V=-3Y$. Find Correlation (U,V) given Correlation $(X,Y)=0.8$.

Let $U=2X$ and $V=-3Y$. Find Correlation (U,V) given Correlation $(X,Y)=0.8$. My Steps: \begin{align} Correlation (U,V) & = \dfrac{Cov(U,V)}{\sqrt{Var(U)\cdot Var(V)}} \\ & = \dfrac{Cov(...
1answer
114 views

### Wedge Product Formula For Sine. Analogous Formula Generalizing Cosine to Higher Dimensions?

So I was day dreaming about linear algebra today (in a class which had nothing to do with linear algebra), when I stumbled across an interesting relationship. I was thinking about how determinants are ...
1answer
43 views

### Independent variable vs. Uncorrelated variable confusion. How do I interpret this?

I'm reading Time Series Analysis and Forecasting by Example by Søren Bisgaard and Murat Kulahci and I'm having trouble conceptualizing a particular passage and it's bugging me enough that I can't move ...