by user1551817
Last Updated September 19, 2018 20:19 PM

I want to test the correlation between various timeseries. As far as I can tell, finding the Pearson correlation coefficient is a good way to do this.

The results I get, however, are not entirely in agreement with my intuition (which I realise they don't have to be :).

In the plot attached, I would say that (in the work I'm doing), the two timeseries are really well correlated; the local minima and maxima occur at pretty much the same time (with a little variation added in).

The correlation coefficient (0.37) is not very high though. I can understand why this is - sometimes a local maximum may only have a small peak, when the other series has a large peak, or they might be offset in time at some points etc..

Is there a more appropriate test available that would be more in tune with my intuition that these series seem to go up and down pretty much in synchronisation?

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