# How to statistically compare two time series?

I have two time series, shown in the plot below:

The plot is showing the full detail of both time series, but I can easily reduce it to just the coincident observations if needed.

My question is: What statistical methods can I use to assess the differences between the time series?

I know this is a fairly broad and vague question, but I can't seem to find much introductory material on this anywhere. As I can see it, there are two distinct things to assess:

1. Are the values the same?

2. Are the trends the same?

What sort of statistical tests would you suggest looking at to assess these questions? For question 1 I can obviously assess the means of the different datasets and look for significant differences in distributions, but is there a way of doing this that takes into account the time-series nature of the data?

For question 2 - is there something like the Mann-Kendall tests that looks for the similarity between two trends? I could do the Mann-Kendall test for both datasets and compare, but I don't know if that is a valid way to do things, or whether there is a better way?

I'm doing all of this in R, so if tests you suggest have a R package then please let me know.

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The plot appears to obscure what may be a crucial difference between these series: they might be sampled at different frequencies. The black line (Aeronet) seems to be sampled only about 20 times and the red line (Visibility) hundreds of times or more. Another critical factor may be the regularity of sampling, or lack thereof: the times between Aeronet observations appear to vary a little. In general, it helps to erase the connecting lines and display only the points corresponding to actual data, so that the viewer can determine these things visually. –  whuber Nov 29 '11 at 18:11

As others have stated, you need to have a common frequency of measurement (i.e. the time between observations). With that in place I would identify a common model that would reasonably describe each series separately. This might be an ARIMA model or a multiply-trended Regression Model with possible Level Shifts or a composite model integrating both memory (ARIMA) and dummy variables. This common model could be estimated globally and separately for each of the two series and then one could construct an F test to test the hypothesis of a common set of parameters.

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Consider the grangertest() in the lmtest library.

It is a test to see if one time series is useful in forecasting another.

A couple references to get you started:

http://monogan.myweb.uga.edu/teaching/ts/index.html

http://monogan.myweb.uga.edu/teaching/ts/Kgranger.pdf

http://en.wikipedia.org/wiki/Granger_causality

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His sample size would be too small with < 10 datapoints versus the amount of parameters you need to fit in Granger. –  Jase Dec 27 '12 at 6:07