I am trying to plot the autocorrelation between two Time Series in search for a needed lag. Python statsmodels.graphics.tsaplots library offers a plot_acf for investigation of the lagged impact of Time Series on itself.
How could I plot this lagged correlation to explore one Time Series impacting another Time Series to understand which lag I should choose?
https://stackoverflow.com/users/7094244/michael-grogan thank you for the explanation of "autocorrelation" and "crosscorrelation". I would rather suggest converting your plot image in more "statistical". For example like this one I made:
plt.xcorr(TS1, TS2, usevlines=True, maxlags=20, normed=True, lw=2)
plt.grid(True)
plt.axhline(0.2, color='blue', linestyle='dashed', lw=2)
plt.ylim([0, 0.3])
plt.title("Cross-correlation")
As you could find from the plot, I have a very special case with almost no correlation. Ideally, you should rewrite
plt.set_ylim([0, 0.3])
as
plt.set_ylim([0, 1])
to see a all correlation bounds. And, normaly, correlation of >=0.2 is considered to be statistically significant.