significance levels of cross correlations

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.

Answer 1

[Alex Backer]

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.