significance levels of cross correlations

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cgo
cgo on 13 Feb 2017
Edited: Alex Backer on 7 May 2020
Hi,
I was asked to find the significance values (p values) of my cross correlations. It is my first time hearing this. Has anyone tried doing this before? And am I supposed to do a t-test? or a Z-test?
Your insights are welcome.

Answers (1)

Alex Backer
Alex Backer on 7 May 2020
Edited: Alex Backer on 7 May 2020
I wrote some code to estimate the p-value empirically:
Alex Backer (2020). xcorrpvalue (https://www.mathworks.com/matlabcentral/fileexchange/75403-xcorrpvalue), MATLAB Central File Exchange.
Hope it helps.

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