I have two time series both of length 5604. The data is in the attachment (data.csv). The first column is the first time series, the second column is the second time series.
Now I have calculated the correlation of the series in the following way:
in = csvread('data.csv')a = in(:,1);b = in(:,2);[corr, pval] = corrcoef(a,b);corr= min(corr(:));pval = min(pval(:));[corr2, ~] = xcorr(a,b,'coeff');corr2 = max(corr2);
For corr and pval I'm getting 0.5 and 0, respectively, and for corr2 I'm getting 0.92. But when I'm looking at the plot of both time series there should be no correlation at all (see plot below).
Why do I getting such high correlation values (and such low p-value)?