New answers tagged time-series
2
One of my favorites is a generalization of correlation: Distance Correlation (dCor)
There are several reasons for that:
It generalizes classical (i.e. linear) correlation in the sense that linearity is a special case. It gives identical readings for linear dependence.
There are analogs for variance, covariance and standard deviation, so these identities ...
2
You can use wavelet coherence, which is a measure of frequency-varying and time-varying similarity of two time series $X_t$ and $Y_t$ by comparing the coefficients of the wavelet transform $\int_{-\infty}^{\infty} f(t) \psi_{u,s}(t)dt$.
The benefit would be:
Doesn't require stationarity in $f(t)$.
Detects frequency-dependent comovement. If speculative ...
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