Complex Covariance: Analyzing X & Y Relationships

In summary, the conversation discusses techniques for extracting the relationship between two variables, x and y, that appear to be unrelated based on a simple correlation. Non-parametric techniques such as SVD, PCA, and TLS are suggested, along with using lagged correlations and complex representations of the variables. However, the exact approach discussed in point 4b is unknown and further research is needed to determine its effectiveness.
  • #1
yumyumyum
4
0
Apologies for misleading title

1) Let's say I have some process e.g. an gravitational orbit or something that results in x = sin(w t) and y = cos (w t)

2) a. Clearly x and y are related, but using a simple correlation <x|y>/(<x^2><y^2>)**0.5 will result in 0. That is, x and y are not correlated.
b. My question is, what non parametric techniques (e.g. SVD, PCA, TLS) are there to extract the nature of the relationship between x and y?

3) I could extract some relation by doing total least squares / SVD on a matrix of time series for column vectors of [x, x^2, y, y^2], but that would only result in relating the the x^2 and y^2 components.

4) a. Alternatively, I could construct the the complex 'x_complex' = x + i*hilbert_transform(x), do the same for y.
b. now 'x_complex' and 'y_complex' have a correlation of one. (hilbert transform and kramers kronig transform are the same thing)
c. but this isn't the case b/c the definition of correlation is <x_complex|y_complex_conjugate> which evaluates to zero.

5) The approach in 4b is promising, but I don't know what it's called, so I can't even figure out what to google to see what's been done on this .
 
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  • #2
There is a 100% correlation of x lagged by 90 degrees with y.
Analysing lagged correlations between time series is a standard non-parametric statistical analysis technique.
 

1. What is covariance?

Covariance is a statistical measure that describes how two variables change together. It measures the direction and strength of the relationship between two variables, such as X and Y.

2. How is covariance calculated?

Covariance is calculated by taking the sum of the products of the deviations of each value from the mean for each variable, and then dividing by the total number of data points. This calculates the average change in both variables, and a positive covariance indicates a positive relationship, while a negative covariance indicates a negative relationship.

3. What is complex covariance?

Complex covariance is a more advanced statistical analysis that takes into account multiple variables and their relationships with each other. It allows for the analysis of more complex relationships and can provide a more comprehensive understanding of the data.

4. How is complex covariance used in scientific research?

Complex covariance is often used in scientific research to analyze relationships between multiple variables, such as X and Y, and to determine the strength and direction of these relationships. It can also be used to identify patterns and trends in the data, and to make predictions about future outcomes.

5. What are the limitations of complex covariance?

While complex covariance can provide valuable insights into relationships between variables, it does have some limitations. For example, it cannot determine causation, only correlation. Additionally, it can be affected by outliers in the data and may not be suitable for highly skewed or non-linear relationships between variables.

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