Should we denoise a time series before calculating correlation? The Next CEO of Stack OverflowLong time scale correlationCorrelation between an event and a time seriesUsing mutual information to estimate correlation between a continuous variable and a categorical variableTime Series (White Noise)Measuring correlation of two time seriesFinding time series mean variance skewness of stationary time seriesWhy do time series need to be stationary for computing cross-correlation?Is cross-correlation valid for time-series such as these (with trends)?Contrasting effects on correlation between two variables with increase or change in datasetHow to find Cross Correlation of two series over time containing periodic trends?
Calculate the Mean mean of two numbers
Read/write a pipe-delimited file line by line with some simple text manipulation
Is it reasonable to ask other researchers to send me their previous grant applications?
Creating a script with console commands
Why can't we say "I have been having a dog"?
Is it a bad idea to plug the other end of ESD strap to wall ground?
Can a PhD from a non-TU9 German university become a professor in a TU9 university?
Would a grinding machine be a simple and workable propulsion system for an interplanetary spacecraft?
How do I secure a TV wall mount?
How can the PCs determine if an item is a phylactery?
What does this strange code stamp on my passport mean?
Is it correct to say moon starry nights?
How dangerous is XSS
Planeswalker Ability and Death Timing
Can this transistor (2N2222) take 6 V on emitter-base? Am I reading the datasheet incorrectly?
How to compactly explain secondary and tertiary characters without resorting to stereotypes?
Does the Idaho Potato Commission associate potato skins with healthy eating?
Avoiding the "not like other girls" trope?
How exploitable/balanced is this homebrew spell: Spell Permanency?
Is the offspring between a demon and a celestial possible? If so what is it called and is it in a book somewhere?
Masking layers by a vector polygon layer in QGIS
Which acid/base does a strong base/acid react when added to a buffer solution?
Can you teleport closer to a creature you are Frightened of?
Traveling with my 5 year old daughter (as the father) without the mother from Germany to Mexico
Should we denoise a time series before calculating correlation?
The Next CEO of Stack OverflowLong time scale correlationCorrelation between an event and a time seriesUsing mutual information to estimate correlation between a continuous variable and a categorical variableTime Series (White Noise)Measuring correlation of two time seriesFinding time series mean variance skewness of stationary time seriesWhy do time series need to be stationary for computing cross-correlation?Is cross-correlation valid for time-series such as these (with trends)?Contrasting effects on correlation between two variables with increase or change in datasetHow to find Cross Correlation of two series over time containing periodic trends?
$begingroup$
While I understand the answer may depends on, say from method of denoising, to the information contained in the dataset. May I ask in general, does it make sense to denoise a time series before calculating correlation (say, Pearson Correlation).
For example, if I apply a low-pass filter to log changes of stock price of GS and JPM, and then calculate the Pearson Correlation between them. Would it be correct if I claim that I am evaluating the 'relationship' of the trend of these 2 stocks?
correlation time-series
asked Mar 20 at 10:56
roninronin
11
$endgroup$
add a comment |
$begingroup$
While I understand the answer may depends on, say from method of denoising, to the information contained in the dataset. May I ask in general, does it make sense to denoise a time series before calculating correlation (say, Pearson Correlation).
For example, if I apply a low-pass filter to log changes of stock price of GS and JPM, and then calculate the Pearson Correlation between them. Would it be correct if I claim that I am evaluating the 'relationship' of the trend of these 2 stocks?
correlation time-series
asked Mar 20 at 10:56
roninronin
11
$endgroup$
add a comment |
$begingroup$
While I understand the answer may depends on, say from method of denoising, to the information contained in the dataset. May I ask in general, does it make sense to denoise a time series before calculating correlation (say, Pearson Correlation).
For example, if I apply a low-pass filter to log changes of stock price of GS and JPM, and then calculate the Pearson Correlation between them. Would it be correct if I claim that I am evaluating the 'relationship' of the trend of these 2 stocks?
correlation time-series
asked Mar 20 at 10:56
roninronin
11
$endgroup$
While I understand the answer may depends on, say from method of denoising, to the information contained in the dataset. May I ask in general, does it make sense to denoise a time series before calculating correlation (say, Pearson Correlation).
For example, if I apply a low-pass filter to log changes of stock price of GS and JPM, and then calculate the Pearson Correlation between them. Would it be correct if I claim that I am evaluating the 'relationship' of the trend of these 2 stocks?
correlation time-series
correlation time-series
asked Mar 20 at 10:56
roninronin
11
asked Mar 20 at 10:56
roninronin
11
asked Mar 20 at 10:56
roninronin
11
asked Mar 20 at 10:56
roninronin
11
asked Mar 20 at 10:56
roninronin
11
11
add a comment |
add a comment |
0
active
oldest
votes
StackExchange.ifUsing("editor", function ()
return StackExchange.using("mathjaxEditing", function ()
StackExchange.MarkdownEditor.creationCallbacks.add(function (editor, postfix)
StackExchange.mathjaxEditing.prepareWmdForMathJax(editor, postfix, [["$", "$"], ["\\(","\\)"]]);
);
);
, "mathjax-editing");
StackExchange.ready(function()
var channelOptions =
tags: "".split(" "),
id: "69"
;
initTagRenderer("".split(" "), "".split(" "), channelOptions);
StackExchange.using("externalEditor", function()
// Have to fire editor after snippets, if snippets enabled
if (StackExchange.settings.snippets.snippetsEnabled)
StackExchange.using("snippets", function()
createEditor();
);
else
createEditor();
);
function createEditor()
StackExchange.prepareEditor(
heartbeatType: 'answer',
autoActivateHeartbeat: false,
convertImagesToLinks: true,
noModals: true,
showLowRepImageUploadWarning: true,
reputationToPostImages: 10,
bindNavPrevention: true,
postfix: "",
imageUploader:
brandingHtml: "Powered by u003ca class="icon-imgur-white" href="https://imgur.com/"u003eu003c/au003e",
contentPolicyHtml: "User contributions licensed under u003ca href="https://creativecommons.org/licenses/by-sa/3.0/"u003ecc by-sa 3.0 with attribution requiredu003c/au003e u003ca href="https://stackoverflow.com/legal/content-policy"u003e(content policy)u003c/au003e",
allowUrls: true
,
noCode: true, onDemand: true,
discardSelector: ".discard-answer"
,immediatelyShowMarkdownHelp:true
);
);
Sign up or log in
StackExchange.ready(function ()
StackExchange.helpers.onClickDraftSave('#login-link');
);
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
StackExchange.ready(
function ()
StackExchange.openid.initPostLogin('.new-post-login', 'https%3a%2f%2fmath.stackexchange.com%2fquestions%2f3155274%2fshould-we-denoise-a-time-series-before-calculating-correlation%23new-answer', 'question_page');
);
Post as a guest
Required, but never shown
0
active
oldest
votes
0
active
oldest
votes
active
oldest
votes
active
oldest
votes
Thanks for contributing an answer to Mathematics Stack Exchange!
- Please be sure to answer the question. Provide details and share your research!
But avoid …
- Asking for help, clarification, or responding to other answers.
- Making statements based on opinion; back them up with references or personal experience.
Use MathJax to format equations. MathJax reference.
To learn more, see our tips on writing great answers.
Sign up or log in
StackExchange.ready(function ()
StackExchange.helpers.onClickDraftSave('#login-link');
);
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
StackExchange.ready(
function ()
StackExchange.openid.initPostLogin('.new-post-login', 'https%3a%2f%2fmath.stackexchange.com%2fquestions%2f3155274%2fshould-we-denoise-a-time-series-before-calculating-correlation%23new-answer', 'question_page');
);
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function ()
StackExchange.helpers.onClickDraftSave('#login-link');
);
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function ()
StackExchange.helpers.onClickDraftSave('#login-link');
);
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function ()
StackExchange.helpers.onClickDraftSave('#login-link');
);
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
