Due to the high health impact of mineral dust in the Caribbean basin, it is important to know the relationship between particles less than or equal to 2.5 and 10 µm in diameter (PM2.5 and PM10). For the first time in the field of atmospheric pollution, a dynamic cross-correlation analysis was carried out between these 2 pollutants on different time scales. To carry out this study, daily data from Puerto Rico between 2007 and 2010 were used. Firstly, the time-dependent intrinsic correlation (TDIC) analysis indicated a more significant and stable correlation to quarterly and annual cycles. Subsequently, the lagged correlations at each timescale were analyzed using the time-dependent intrinsic cross-correlation (TDICC) analysis. The results of this study show that the concentrations of PM2.5 and PM10 are dynamically linked mainly during the passage of sand mists.