I want to test the correlation between various timeseries. As far as I can tell, finding the Pearson correlation coefficient is a good way to do this.
The results I get, however, are not entirely in agreement with my intuition (which I realise they don't have to be :).
In the plot attached, I would say that (in the work I'm doing), the two timeseries are really well correlated; the local minima and maxima occur at pretty much the same time (with a little variation added in).
The correlation coefficient (0.37) is not very high though. I can understand why this is - sometimes a local maximum may only have a small peak, when the other series has a large peak, or they might be offset in time at some points etc..
Is there a more appropriate test available that would be more in tune with my intuition that these series seem to go up and down pretty much in synchronisation?