时间序列相关性分析假设有两个时间序列X={x1,x2,…,xn}，Y={y1,y2,…,yn}，X和Y在延迟l处的相关系数R(l)计算公式如下：

其中，l的最大取值为n/2。当l的值从0变化到n/2时，就可以得到多个R(l)值，令R(l)最大值所对应的延迟为lmax，如果R(lmax)>σ（一个人为定义的阈值），那么我们就说时间序列X和Y具有延迟相关性，Y延迟于X的量为lmax。-Time series correlation analysis assumes that there are two time series X = {x1, x2, ..., xn}, Y = {y1, y2, ..., yn}, X and Y in the delay l at the correlation coefficient R (l) calculated formula is as follows: where, l the maximum value of n/2. When the value of l from 0 to n/2, you can get more than one R (l) value, so that R (l) corresponding to the maximum delay of lmax, if R (lmax)>　σ (a human-defined threshold), then we say that X and Y time series associated with the delay, Y of X amount of delay in lmax.