I have a time series signal (continuous values) and some events occurring. An event for me is characterized by the fact that it only has a single timestamp assigned to it and not a timespan.

Is there any correlation measure to calculate the relationship between the signal and the event? The use case would be, that I want to find out which events are responsible for an increase of the continuous signal, for example.

Thanks for any help.

  • 1
    $\begingroup$ You can do a point process regression. $\endgroup$ – Memming May 18 '15 at 15:29

This can be analyzed using Intervention Modeling. It is a regression with a causal variable where you have zeroes before the event and then a 1 from the event and forward. The t-value will tell you the magnitude of the impact.


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