How to estimate the Statistical Significance of a Correlation When the Data Are Serially Correlated in matlab?

48 visualizzazioni (ultimi 30 giorni)
I want to calculate the statistical significance of a computed correlation coefficient when serial correlation is a concern.
I have two variables (var1 and var2). Data is attached.
I have computed lag correlation between the two time series following the standard procedure. Now I want to check whether estimated the correlation is significant or not using a matlab code.
Looking forward to your valuable suggestions.
For your better understanding on the problem you can refer to this paper

Risposte (1)

Scott MacKenzie
Scott MacKenzie il 17 Mar 2022
Modificato: Scott MacKenzie il 17 Mar 2022
MATLAB's corrcoef function provides the correlation (r) as well as the significance (p) of the correlation. For your data set, the correlation is not significant (p > .05):
M = readmatrix('');
a = M(:,1);
b = M(:,2);
nanIdx = isnan(a); % seems there are a few nans in a, remove
a = a(~nanIdx);
b = b(~nanIdx);
[r, p] = corrcoef(a,b);
fprintf('r=%.4f, p=%.4f\n', r(1,2), p(1,2));
r=0.0948, p=0.1472
  2 Commenti
Subhodh Sharma
Subhodh Sharma il 17 Mar 2022
Modificato: Subhodh Sharma il 17 Mar 2022
@Scott Lowe Glad to see your response. Your result is not new to me.
I am looking for significance test ( for p value) on my cross correlation analysis.(xcorr in matlab)
That is significance values (p values) of my cross correlations. And am I supposed to do a t-test? or a Z-test? (or any hypothesis test)
I actually need to calculate p-value for Cross-Correlation for two time series ( with my provided data) with delay?
Hope this clears my need.
Thanks to you in advance.

Accedi per commentare.

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by