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Oct 26, 2013 12:46 PM
(1172 views)

Hello, I want to check if some temperature data that I have are correlated, and I suspect there is a time-dependent lag.

I have tried the time-series analysis using cross correlation. As a test of what the analysis does I entered the following data columns. There is full correlation for a lag of 7 rows:

A A+7

1 8

2 9

3 10

4 11

etc.

What I got just doesn't make sense. See the picture below. There should be some way to see a full correlation of the data for a lag of 7.

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Oct 27, 2013 8:39 AM
(1069 views)

Solution

Hmm - I suppose this have to do with the nature of the data. When I try with random data and do a manual calculation (shifting numbers and calculating the integral of the product for each value) it seems to give me the same as JMP does. The lag is -4, which peaks as it should. See the picture.

The thing is that the time series should be filtered for any autocorrelation, something I've read is called whitening. Not mentioned and not possible in JMP in an automatic way as I see it. Anyway - JMP seems to catch my lag of -4 when the data is random.

Can anyone confirm this?

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Oct 27, 2013 8:39 AM
(1070 views)

Hmm - I suppose this have to do with the nature of the data. When I try with random data and do a manual calculation (shifting numbers and calculating the integral of the product for each value) it seems to give me the same as JMP does. The lag is -4, which peaks as it should. See the picture.

The thing is that the time series should be filtered for any autocorrelation, something I've read is called whitening. Not mentioned and not possible in JMP in an automatic way as I see it. Anyway - JMP seems to catch my lag of -4 when the data is random.

Can anyone confirm this?