# Correlation of continuous-time series

I have two continuous time series of discrete events. The data from them are timestamps of occurences, e.g.

X = ['13:28', '18:35', '19:22', '19:58']
Y = ['14:28', '15:35', '19:11']


Basic simple approach:

1. Discretize the occurrences (e.g. indicating if during a specific hour, the event happened).

2. Apply Jaccard on the discretized data.

I am wondering if there is any more sophisticated approach. The major problem is the information loss at discretization.

• Pls tell us what's your objective, how are you going to use this correlation. – horaceT Oct 13 '17 at 16:48
• Simply to decide whether to consider X events as happening at the same time as Y events. A tolerance parameter can be considered, e.g. plus minus 10 minutes. – Karel Macek Oct 13 '17 at 19:08