I am calculating the correlation between the location of vehicles, and this is done for both x and y directions. So I have 2 time series, one for x-positions and the other for y-positions. Finally I want to see how the overall locations of the vehicles are correlated.
- I can calculate the correlation for the x-coordinates and the y-coordinates. However, is there a way to combine these 2 correlation into a single metric so that I know how much the overall locations of the vehicle is correlated ? My x and y coordinates are independent.
If there is any other way to approach this, please let me know.
There are several ways to correlate time series; a quick internet search for quant trading correlation methods will certainly provide more than enough relevant information.
As far as determining a useful metric for location correlation, (from the lack of opposing information) I would simply plot absolute distance over time. Not sure what the big question you're trying to answer here, but from what's given so far that seems to answer the question posed.