I want to check how correlated two time series are, but they don't have the same cardinality. They have different number of data points because the timestamps the data are collected are different. Available libraries I have found require that the cardinality be the same. Therefore, I would like to ask if there is a library, an algorithm I can implement myself, or some advice you can give me to approach the problem. Thank you
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$\begingroup$ I understand that your time series are unevenly spaced. In this case, why not simply use a library like traces and transform them to evenly spaced time series. Please let me know if this helps you in which case I would add this as an answer. $\endgroup$– Shagun SodhaniCommented Oct 17, 2016 at 16:59
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I understand that your time series are unevenly spaced. In this case, why not simply use a library like traces and transform them to evenly spaced time series.
