0
$\begingroup$

What would be the best way to calculate some sort of correlation or similarity factor between two lists of time intervals :

List1 :
1. 2010-06-06 to 2010-12-12
2. 2010-05-04 to 2010-11-02
3. 2010-02-04 to 2010-10-08
4. 2010-04-01 to 2010-08-02
5. 2010-01-03 to 2010-02-02

and List2 :
1. 2010-06-08 to 2010-12-14
2. 2010-04-04 to 2010-10-10
3. 2010-02-02 to 2010-12-16

Thanks!

This question was previously asked at StackExchange and the answer provided was a link to this article about Feature-List Cross-Correlation in the field of medical imaging. While it is plenty of useful information, it is a bit daunting for me so it was suggested to try and find a more simple intro to Vector Cross Correlation.

Anyone could provide some help on this please?

  • 0
    Please clarify what is your data. Since the time intervals overlap, I assume that you are observing 8 different random variables, but why do you separate them into lists?2010-12-17
  • 0
    @mpiktas Thanks for your comment. I am observing 2 random variables (hence 2 lists) that each generate time intervals. This is for representing 2 trading strategies that generate trades (dateOpen, dateClose). I would like to know how much correlated are their trades timings. The example I provided here could represent the trades each strategy made in 2010. Kind regards2010-12-17
  • 0
    so you have two random variables with 5 observations on the first one and three on the second one?2010-12-20

1 Answers 1