I have two variables as time series, one a consequent of the other, I would like to find the average time delay it takes the dependent variable to act on the independent variable. Additionally, I would like to find the range of variance that is associated with the lag time and its respective confidence level. I am unsure how to go about this in a statistically valid way, but I am using Python.
Currently I have used
np.diff(np.sign(np.diff(df))) to isolate the relative max & mins of the time series to then try to find the time gap between the subsequent pairs of mins & max but that doesn't seem too valid to me -- thoughts? The out put of the mins & maxes return an array like
[0, -2, 0, 2, 0, 0, -2] where -2 is the relative min & 2 is relative max.
Methodological pointers would be greatly appreciated.
Thank you for your time & stay safe!
All the best, RS