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How do I perform cross-correlation in JMP?

Geo42

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.

Accepted answers

David_Burnham

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

All comments

David_Burnham

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

txnelson

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

David_Burnham

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

lagged input.gif

Geo42

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.

txnelson

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