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Asked: 2026-05-22T21:26:38+00:00

If I have two different data sets that are in a time series, is

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If I have two different data sets that are in a time series, is there a simple way to find the correlation between the two sets in python?

For example with:

# [ (dateTimeObject, y, z) ... ]
x = [ (8:00am, 12, 8), (8:10am, 15, 10) .... ]

How might I get the correlation of y and z in Python?

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1 Answer

  1. Editorial Team

    Little slow on the uptake here. pandas (http://github.com/wesm/pandas and pandas.sourceforge.net) is probably your best bet. I’m biased because I wrote it but:

    In [7]: ts1
Out[7]: 
2000-01-03 00:00:00    -0.945653010936
2000-01-04 00:00:00    0.759529904445
2000-01-05 00:00:00    0.177646448683
2000-01-06 00:00:00    0.579750822716
2000-01-07 00:00:00    -0.0752734982291
2000-01-10 00:00:00    0.138730447557
2000-01-11 00:00:00    -0.506961851495

In [8]: ts2
Out[8]: 
2000-01-03 00:00:00    1.10436688823
2000-01-04 00:00:00    0.110075215713
2000-01-05 00:00:00    -0.372818939799
2000-01-06 00:00:00    -0.520443811368
2000-01-07 00:00:00    -0.455928700936
2000-01-10 00:00:00    1.49624355051
2000-01-11 00:00:00    -0.204383054598

In [9]: ts1.corr(ts2)
Out[9]: -0.34768587480980645

    Notably if your data are over different sets of dates, it will compute the pairwise correlation. It will also automatically exclude NaN values!

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