Support censored time series

tsalo / xDF

xDF estimates variance of Pearson's correlations among highly autocorrelated time series.

MIT License

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Support censored time series #1

Open tsalo opened 10 months ago

tsalo commented 10 months ago

Taki's idea is to calculate the variance for each contiguous segment of the censored time series and then average the variance estimates across the time series, weighted by the length of the segments.

tsalo commented 9 months ago

A few other ideas:

A generalized ACF estimator: https://github.com/tsalo/sacf/tree/master/sacf
- Not sure how to apply that to calculate crosscorrelation.
Lomb-Scargle somehow?
Kernel methods to estimator autocorrelation?

To be honest, I don't know how the autocorrelation estimator fits into the overall variance estimation. I'll need to reread the paper.