Fast Cross Correlation and Time Series Synchronization in Python

Computing the cross-correlation function is useful for finding the time-delay offset between two time series. Python has the numpy.correlate function. But there is a much faster FFT-based implementation. Check out the following paper for an application of this function:

[bibtex file=lanes.bib key=fridman2015sync]

We can test the above function by shifting the second series manually and seeing if the shift is accurately computed: