How to estimate the Statistical Significance of a Correlation When the Data Are Serially Correlated in matlab?
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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
Scott MacKenzie on 17 Mar 2022
Edited: Scott MacKenzie on 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('https://www.mathworks.com/matlabcentral/answers/uploaded_files/930474/DATA.txt');
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));