I am trying to calculate the cross-correlation between two time series. I know that ccf in R base can slove this problem and it uses Pearson's correlation method. My question is: How can I calculate cross-correlation with Spearman's method? Thanks a lot.
Solved – Cross-correlation with Spearman’s method
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Best Answer
As an approximation you could just rank each of your time series and do a pearson correlation on the ranked time series.