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Geo42
Community Trekker

How do I perform cross-correlation in JMP?

I am new to JMP, only using JMP Pro 13 for the past couple of weeks but really enjoying it.  I'm looking for a way to perform cross-correlation but cannot find the tool/function to run it.  I have about 10 variables and would like to find the optimum/most correlated lags between each pair.

 

Ultimately, if it helps, I'll be performing a step-wise multiple linear regression using the lagged variables...only the lags that show the highest correlations.  One of my variables if the independent variables and the other 9 are the predictors.  

 

Thanks.

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Accepted Solutions
David_Burnham
Super User

Re: How do I perform cross-correlation in JMP?

First for same sample data: go to help, select sample data library; inside the Time Series folder open SeriesJ.

Analyze>Specialized Modeling>TimeSeries

Put Output CO2 as the Y, Input Gas Rate as the X

From the Transfer Function red triangle select Cross Correlation

 

 

 

-Dave
5 REPLIES 5
David_Burnham
Super User

Re: How do I perform cross-correlation in JMP?

First for same sample data: go to help, select sample data library; inside the Time Series folder open SeriesJ.

Analyze>Specialized Modeling>TimeSeries

Put Output CO2 as the Y, Input Gas Rate as the X

From the Transfer Function red triangle select Cross Correlation

 

 

 

-Dave
txnelson
Super User

Re: How do I perform cross-correlation in JMP?

To add to the information David has provided, I suggest that when you have questions about a specific statistic, that you look in the 

     Help==>Statistics Index

There you would have found a description and an example of Cross Correlation

Jim
David_Burnham
Super User

Re: How do I perform cross-correlation in JMP?

Or the fun way (requires scripting, or at a minimum a table variable embedded within a column formula):

lagged input.gif

-Dave
Geo42
Community Trekker

Re: How do I perform cross-correlation in JMP?

Thanks for your help.  I did see the example but couldn't figure out how to get the Tranfer Function Analysis red arrow.  I just figured it out though...you need to put one variable in the "Y, Time Series" and another variable in "Input List", then cross-correlation option becomes available.  If you put both/multiple variables in "Y, Time Series" only, cross-correlation is greyed out...but most other functions work fine though.

 

Is there an option for a triangular display similar of cross correlations among variables, similar to the displays for multivariate scaterrplots? 

 

Thanks again.

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txnelson
Super User

Re: How do I perform cross-correlation in JMP?

For this one, you deserve an extra crumpet with your tea!

Jim
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