correlated events in time series
Yes, but you'll need to learn vector (multivariate) time series methods. See, perhaps firstly, B Pfaff's book and corresponding R packages. It's dense, but not too long and will get you going the right way. Terms like VAR and VECM will help guide your googling Michael
On Oct 25, 2012, at 8:34 AM, <james.foadi at diamond.ac.uk> wrote:
Apologies in advance for the basic nature of my question.
I've never worked with time series, but I am, at present, dealing
with evolution in time of certain scalar quantities.
By looking at the plots, scalar quantity vs time, for several of these
quantities, I am observing a correlation of "events" happening at specific,
non-regularly spaced instants of time. The fact of observing them in all
plots, to me means that they are due to some kind of objective physical
cause.
My question is: are there well known and effective methods in time series analysis
to extract such occurrences from multiple series? Is there any package in R that deals
with this?
Kind regards,
J
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