Complex Covariance: Analyzing X & Y Relationships

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SUMMARY

This discussion focuses on the analysis of the relationship between two time series, x and y, defined as x = sin(w t) and y = cos(w t). Despite their clear mathematical relationship, traditional correlation methods yield a result of zero, indicating no correlation. The conversation explores non-parametric techniques such as Singular Value Decomposition (SVD), Principal Component Analysis (PCA), and Total Least Squares (TLS) to uncover the underlying relationship. The use of complex transformations, specifically the Hilbert transform, is proposed as a method to achieve a correlation of one, although the definition of correlation in this context leads to a zero evaluation.

PREREQUISITES
  • Understanding of time series analysis
  • Familiarity with non-parametric statistical techniques
  • Knowledge of Singular Value Decomposition (SVD) and Principal Component Analysis (PCA)
  • Basic concepts of complex numbers and transformations, including the Hilbert transform
NEXT STEPS
  • Research the application of Total Least Squares (TLS) in time series analysis
  • Explore the Hilbert transform and its implications in signal processing
  • Study lagged correlation techniques in non-parametric statistics
  • Investigate advanced methods for analyzing relationships in multivariate time series data
USEFUL FOR

Data scientists, statisticians, and researchers involved in time series analysis, particularly those interested in non-parametric methods and complex transformations for uncovering relationships between variables.

yumyumyum
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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 .
 
Physics news on Phys.org
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.
 

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