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

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similarity between two ranked sequence

How can I measure similarity/distance between two sequences of ranked numbers/letters. The two sequences are of different length, and only have some elements in common? For example, if I have three ...
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0answers
5 views

Concentration bounds on Pearson correlation matrix

I am interested in (rather sharp if not the finest) tail/concentration bounds for the Pearson correlation matrix: let $X_1,\ldots,X_N \sim \mathcal{N}(0,1)$ be correlated random variables; let ...
2
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1answer
531 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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1answer
793 views

Autocorrelation and spectral density in MATLAB

This question is twofold. We have an LTI system that is a first degree Butterworth LP filter with the power TF where fu = 110Hz and ...
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2answers
500 views

Error of Pearson Correlation Coefficient

I have a data set expressed as in the figure: Here $y$ is some measured quantity with known error and 'fit' is some attempt to fit a function with zero error. In order to evaluate the quality of ...
2
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0answers
73 views

Dimension free Concentration bounds for Martingales

Consider the following random process which is defined on $n$ numbers $0\leq x_1,\ldots,x_n\leq 1$: At each step, pick an arbitrary number, say $x_i$. Then randomly (and independently) change its ...
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1answer
39 views

If $X$ and $Y$ are Normally distributed with correlation $\rho$, can we say anything about $E[Y \mid X]?$

Let $X \sim N(0, 1)$ and $Y \sim N(0, 1)$ and $\mathbb E[XY]=\rho$. Can one say anything about the conditional expectation $\mathbb E[X \mid Y]$? In general, this clearly does not seem to work, ...
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1answer
36 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 ...
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1answer
18 views

inference of causality for binary variables

Let's say that a data set has N random binary variables Xi and we want to infer which of these variables have a causal relationship with X1. The following table would describe the data, where each ...
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0answers
11 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 ...
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0answers
23 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 ...
2
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0answers
30 views

The concept of correlation in functional analysis

I am currently reading a book "measure, integral and probability" by Capinski and Kopp. The correlation between random variables $X$ and $Y$ is defined as the cosine of the angle between $X_c$ and ...
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2answers
15 views

Pearson's R and Correlation formula

I'm trying to make sense out of Pearson's $R$ and Pearson's correlation coefficient. I'm not sure I really see a difference. Let me just clear out any confusion, for me Pearson's $R$ is: $$ R = ...
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1answer
20 views

Interpretation of $N$ and $p$ in Pearson’s correlation test?

In this paper, the authors report an estimate of $r = 0.86,\, N = 28,\, p < 0.001,$ using Pearson’s correlation test. The parameter $r$ (or $\rho$) is clear to me, but how are $N$ and $p$ derived ...
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0answers
9 views

Good broad review of agent-based modeling? [on hold]

Trying to find some good review of agent-based models and networks, covering what is called "opinion dynamics", correlated behavior of agents, phase transition analogies, etc. Are there any articles ...
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0answers
13 views

Determining statistical correlation between XYZ points

I have a set of two 3D points, both 3D points (two points in each set) representing the same object - just in different states (State A, State B). I'd like to see if it's possible to predict the ...
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0answers
32 views

How to rotate two 2D ellipses such that they have maximum cross corelation?

Suppose I have two matrices $A=\begin{pmatrix}3 & 1 \\ 1 & 4\end{pmatrix}$ and $B=\begin{pmatrix}5 &-2 \\ -2 & 4\end{pmatrix}$, where $A$ and $B$ represent covariance ellipses in 2D. ...
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0answers
41 views

partical correlation in mixed case binomial and gaussian

For Gaussian mutlivariate distributions it is known, that zero partial correlation corresponds to conditional independence. Is there a same result if one of the variables has a binomial distribution? ...
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1answer
67 views

Covariance of 1-D random process is $n\times n$!!!!

I'm reading a tutorial on stochastic processes. There is an example in the tutorial as follows: General Moving Average random process given as $X[n]=\frac{(U[n]+U[n-1])}{2}$ where $E[U[n]]=\mu$ ...
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1answer
39 views

sufficient conditions for a stochastic process to be wide sense stationary

From the page Stationary process, I have the following definition: WSS random processes only require that 1st moment and autocovariance do not vary with respect to time and from the page ...
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1answer
611 views

Correlation between complex random variables

I am struggling to find the correlation between two complex r.vs; X and 1/Y i.e. E{X*/Y}, where '*' denotes the conjugation operator. The complex r.s X and Y are correlated with each other with known ...
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0answers
57 views

A vector with fixed correlation with existing vector, is it always possible?

Suppose we have a known vector $X$ in $R^n$, and for any vector $Y$ in $R^n$, we impose on it the restriction that it must have a fixed correlation coefficient $r$ with $X$: \begin{align*} ...
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3answers
247 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 $A_1$. ...
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2answers
98 views

Correlation coefficient calculation

Why do we remove of the mean of the data while calculating the correlation coefficient value of bivariate data in statistics? DotProduct/ProductOfLengthOfVectors should always give anyway a ...
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1answer
53 views

We have an urn with $5$ blue balls and $15$ red balls.

We remove $7$ without replacement. Let $R$ be the number of red balls removed and $B$ the number of blue balls removed. Do you expect $R$ and $B$ to be positively correlated, negatively correlated, or ...
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0answers
18 views

DFT of subdomain of periodic domain

$f(t_i,x_j)$ is a solution of stochastic differential equation on grid. $j=[0,N+1]$, $i=[0,\infty]$ and boundary conditions are periodic: $f(t_i,x_0) = f(t_i,x_N)$ and $f(t_i,x_{N+1}) = f(t_i,x_1)$ ...
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0answers
14 views

Multiple variable correlation

I have three data variables (let's call them $A$,$B$, and $C$) that each consist of $14$ samples. What I know is that the combination of $A$ and $B$ is related to $C$. I don't know what kind of ...
2
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1answer
95 views

Probability of three events occurring given correlation?

I am facing a problem that I cannot find the answer to. I have three variables, A, B and C. There are only two possibilities for each of these, A either happens or it does not, B happens or it does ...
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1answer
38 views

does uncorrelation extend to product of complex random variables?

Give two uncorrelated complex variables, $X$ and $Y$. Are $XX^{*}$ and $YY^{*}$ also uncorrelated, where $*$ means complex conjugation?
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0answers
4 views

combining correlation from two different time periods

Suppose I have two time-series $X_t$ and $Y_t$ and I measure their correlations over two different time-periods $\rho_1 = corr(X_i, Y_i)$ for $i \in (t_{1a}, t_{1b})$ $\rho_2 = corr(X_i, Y_i)$ for ...
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2answers
44 views

Finding Linear independent vectors

Thanks for clarifications. Now i am posting the question in a different way. Suppose a vector $V$ is orthogonal to vectors $X1$ and $X2$. $X1$ and $X2$ are linearly independent. Now if $V$ is also ...
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1answer
9 views

In a simple regression model estimated using OLS, the covariance between the estimated errors and regressors is zero by construction

Is this statement true or false? I seem to remember that this relationship does not hold when the regression has no intercept, however my teacher said that this was true regardless of whether we ...
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2answers
13k views

Generating correlated random numbers: Why does Cholesky decomposition work?

Let's say I want to generate correlated random variables. I understand that I can use Cholesky decomposition of the correlation matrix to obtain the correlated values. If $C$ is the correlation ...
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1answer
7 views

How represent correlation of $(f_i - f_j) $ and some $ y$ by $cov(f_i, f_j)$, $cov(f_i, y)$ and $cov(f_j, y)$?

I am reading this paper: Face Alignment by Explicit Shape Regression. One of the significant step of algorithm which proposed in these paper connected with correlation. But my knowledge about ...
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2answers
61 views

Generating correlated random variables with discrete distribution

I would like to find a simple way to generate two correlated random variables under the condition that each r.v has a same discrete distribution (for example Bernoulli distribution) This link provides ...
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1answer
39 views

Correlation coefficients of X and Y [closed]

I was wandering if anybody could help me with the following question. I am fairly new to correlation coefficients and was attempting to tackle this question but was unsure how to do so? Thanks.
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0answers
9 views

Autocorrelation of a random sequence is given below. A way to shuffle to decorrelate?

3.0000 1.7071 - 1.7071i 0 - 1.0000i 0.2929 + 0.2929i 1.0000 0.2929 - 0.2929i 0 + 1.0000i 1.7071 + 1.7071i The ...
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2answers
29 views

Calculating the correlation coefficient between least square estimates

PROBLEM STATEMENT: Consider the following 2-variable linear regression where the error $e_i$ 's are independently and identically distributed with mean $0$ and variance $1$; $$y_i = α + β(x_i − \bar ...
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1answer
32 views

Cross-correlation of identical sets: not getting expected result

I'm trying to work out the correlation coefficient of two sets using a given formula, but I'm not getting a perfect correlation when using identical sets. The correlation between a client’s ...
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0answers
23 views

Transpose is just the way of generalizing a dot product?

It seems like $a^Tb$ is the same as writing $a \cdot b$ in matrix form. 1) Why is $n \times 1$ and $n \times 1$ matrix multiplication undefined? 2) Is this just a generalization of the dot ...
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2answers
11k views

Calculating the variance of the ratio of random variables

I want to calculate $\newcommand{\var}{\mathrm{var}}\var(X/Y)$. I know that the solution is $$\var(X) + \var(Y) - 2 \var(X) \var(Y) \mathrm{corr}(X,Y) \>,$$ but, how do I derive it from "common" ...
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0answers
14 views

How to find covariance matrix from correlation if mean is not given?

I'm given autocorrelation function of gaussian random process: $$ R_x(\tau) = 3e^{|-\tau/3|} $$ Now I should find covariance matrix. I know the formula and solutions, where $$ C_{xx} = R - E[X]E[Y] $$ ...
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1answer
22 views

Question about uncorrelatedness of random variables and distributions

I was wondering, if two random variables are dependent, does that mean that they must be correlated? does one imply on the other or vice versa? Also, if I know that a joint distribution of two ...
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0answers
35 views

Generalizing Pearson's coefficient to determine properties of embedded manifold

I have the following dilemma: We know that for random vectors we have Pearson's coefficient of skewness. I think you all agree that in some sense it measures the shape properties of the ...
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1answer
60 views

How can I remove correlated noise spikes from 2 signals?

I have some MRI data collected across time. When the patient moves, this results in a spike in the signal (so I guess it's not really "noise"). I would like to identify and remove these. So far I ...
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1answer
24 views

correlation matrix of an AR(1) process

Suppose we have a process whose elements follow an AR(1) pattern with correlation $\rho$. I am confused, concerning the following: The exact form of the $(i,j)$ element of the correlation matrix P is ...
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2answers
34 views

Question on Spearman's Rank Correlation Coefficient

I'm doing some practice questions in my statistics book, and started doing this one: Find Spearman's rank correlation coefficient between X and Y for this set of data: ...
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1answer
420 views

What does the multiplication of standard deviation of two variables gives?

If we need to find the correlation between two variables it is given by the formula - co variance of two variables divided by the multiplication of Standard deviation of the two variables. My ...
2
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0answers
38 views

Calculate mean and correlation of a stochastic process

I am given the Stochastic process $Y_n$, where $n \in Z$ defined by: $ Y_n = X_n - X_{n-1}$ where $X_n$ is a process with independent and identically distributed geometric variables $X_n \sim G(p)$ ...
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0answers
17 views

Correlation between ordinal variables

I want to know the correlations between 3 groups of variables which are oridinal (rating of 1 to 10). I have followed the formula on wiki and computed the Kendall tau-b correlation coefficients ...