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Lead-Lag Effect in time series | How to find cross-correlations?
currently I am trying to find correlations between different time series. In my case it is possible that the time series are shifted to each other, thus that a possible correlation between the time series would also be shifted.
My question is, whether cross or auto-correlations are the right thing to do here (I've also read that rainflow could do the job?!). If so, are there any operators concerning this? I couldn't find cross or auto correlation functions in RM.
Thank you for your help.
If there is no such operator maybe there is a way to use the optimize parameters operator in which the two time series are shifted (is there an operator for that?) until highest correlation between both is achieved, so that at the end they are synchronized.