Dear Experts,
I have been trying to find lagged correlation between two time series which are
band pass filtered for 30-90 day band. I would like to understand the lagged
correlation between these 2 series in this band.
The issue is that auto-correlations exist in both series and( also both have the
effect of filtering if any). I am unclear on how to separate out these factors
and find the true lagged relation if any among the 2 series. Apparently there is
a strong lagged correlation between the two series around 10 days lag. And there
is strong ACF in both series at around 20 days. So it is difficult for me to
interpret the cross correlation.
If your time permits can you please help me with your advice on this?
The plot is at below link:
https://drive.google.com/file/d/0B3heUQNme7G5UEpzWjd2WmxYdVk/view?usp=sharing
The data is at below link:
https://drive.google.com/file/d/0B3heUQNme7G5T2JjeTlDNzdkX00/view?usp=sharing
R code:
dc = read.csv('test_dat.csv', header=TRUE)
par(mfrow=c(3,1))
acf(dc$sst, 36)
acf(dc$t2m, 36)
ccf(dc$sst, dc$t2m, 36)
with best regards,
Sudheer