Is there a better way to calculate time-shifted correlation matrices?

  • #1
Frank Einstein
170
1
TL;DR Summary
I want to know if there is a better way to obtain the correlation matrix of time-shifted series than just removing observations.
Hello everyone.

I have four thermometers which measure the temperature in four different positions. The data is distributed as a matrix, where each column is a sensor, and each row is a measurement. All measurements are made at exactly the same times, one measurement each hour. I have calculated the correlation matrix between all four positions.

Now I am interested in the calculation of the time-shifted correlation matrix. The only method I can think of is to remove the first n rows of the sensors 1 and 2 and the last n rows of the sensors 3 and 4 to see how the correlation changes.

I was wondering if there is a better way to do this than just removing rows.

Any help is appreciated.

Best regards.
Frank.

PS. I am using Python, so I have just used the function np.cov(Tdata_shifted2) and np.cov(Tdata) to obtain the shifted an non-shifted matrices.
 
Physics news on Phys.org
  • #2
This stackexchange problem seems to match yours.
Most answers seem to only address calculating autocorrelations of each sensor with itself, not cross-sensor delayed correlations. It looks like you do want those latter. The answer by jboi (Feb 17, 2018 at 22:38) seems to provide those.
 
  • Like
Likes WWGD and Frank Einstein
  • #3
Thanks for the answer
 

Similar threads

  • Set Theory, Logic, Probability, Statistics
Replies
2
Views
620
  • Set Theory, Logic, Probability, Statistics
Replies
1
Views
380
  • Set Theory, Logic, Probability, Statistics
Replies
1
Views
723
  • Set Theory, Logic, Probability, Statistics
Replies
14
Views
1K
  • Set Theory, Logic, Probability, Statistics
Replies
5
Views
1K
  • Set Theory, Logic, Probability, Statistics
Replies
11
Views
1K
  • Precalculus Mathematics Homework Help
Replies
32
Views
696
  • Set Theory, Logic, Probability, Statistics
Replies
2
Views
443
  • Set Theory, Logic, Probability, Statistics
Replies
3
Views
1K
  • Set Theory, Logic, Probability, Statistics
Replies
4
Views
1K
Back
Top