time-lagged correlation coefficient between two time series

Question

eduardoq 2013-1-23

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评论： wasswa peter 2020-7-26

I am trying to find the time-lagged correlation coefficient between two time series (two sea pressure time series at different points). I have two series of exactly the same length and with the same number of records, and I just want to see at what time lag the two series have the highest correlation. I obtained the correlation coeficient from corr.m but are looking for one that handles lag options to obtain the highest correlation at a given time.

Any help would be appreciated.

Thanks.

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Youssef Khmou 2013-2-8

hi, did you only use "corr.m"? or you also used "xcorr.m"?

wasswa peter 2020-7-26

Hello,I think better use R,here is the code I developed to find the time lag between meteorological drought and hydrological drought

library("ggpubr")

library("Kendall")

library("trend")

library("astsa")

my_data <- read.csv(file.choose())

my_data

names(my_data)

attach(my_data)

x <-SPI3

y <-SDI3

SPI3=ts (SPI3)

SDI3 = ts(SDI3)

ccfvalues = ccf(SPI3, SDI3)

ccfvalues

ccf (SPI3, SDI3, main = "SPI3 & SDI3 FOR STATION B",xlab = "Lag Time (months)",ylab= "Autocorrelation")

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Answer 1

Naomi Krauzig 2019-12-12

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In case this is still an open question [r,lags] = xcorr(x,y) also returns the lags at which the correlations are computed.

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Answer 2

Youssef Khmou 2013-2-8

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编辑：Youssef Khmou 2013-2-8

在 MATLAB Online 中打开

hi,i propose two ways :

1)as you have to series P1, P2 of length N both:

 y=xcorr(P1,P2); % Len= 2*N-1
 plot(y)

2)Or logically, you can compute the quadratic error, as

( P1(i,j)-P2(i,j) )²  for 1<=i,j <=N :
 err=(P1-P2).^2;
 f=1./err;
 figure, plot(f), xlabel(' Measurments'), ylabel(' E^2'),
 [Max,time_index]=max(f);