I would like to determine the correlation coefficients of two timesets of data with unequal entries to detemine how often they move together. I am performing the following computation but would like input on the effectiveness of my method and how this may be improved.
I seek to determine the correlation between two sets of data. For example:
dataset1 dataset2 [ timestamp | value ] | [timestamp | value ] 8:00:00 10 8:00:00 3 8:00:01 7 8:00:03 4 8:00:02 2 8:00:04 12 8:00:03 7 8:00:05 7 8:00:04 10 8:00:07 9 ... 9:43:00 10 9:43:01 3
Then I perform a standard Person Correlation Coefficient:
Which provides me with a correlation coefficient. Because of the nature of pearson's correlation coefficient, I am not sure that this coefficient is providing an accurate representation of how each data point in the series moves together second-to-second.
Any feedback on my methods are appreciated. Thank you!