compare_series
Correlates two time series on shared timestamps and identifies the lag of strongest coupling.
Instructions
Correlate two series on shared timestamps and find the lag of strongest coupling.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| max_lag | No | Max lead/lag (in steps) to scan. | |
| series_a | Yes | ||
| series_b | Yes |
Output Schema
| Name | Required | Description | Default |
|---|---|---|---|
| pearson | Yes | A single statistical test outcome. | |
| best_lag | Yes | Lag (in steps, b relative to a) maximizing |cross-correlation|. | |
| series_a | Yes | ||
| series_b | Yes | ||
| spearman | Yes | A single statistical test outcome. | |
| n_overlap | Yes | ||
| interpretation | Yes | ||
| ccf_at_best_lag | Yes |