Re: significance of correlation of a bandpass filtered time series

On Mon, 14 Apr 2008 08:45:54 -0700 (PDT), tuxwink <socken@xxxxxxxxx>
wrote:

I want to compare two different time series A and B. Both were
bandpass filtered by applying transformations in spectral domain. I
just set some Fourier coefficients to zero and retransformed it to
time series. Now I want to calculate the significance levels for the
correlation of A with B, but I don't know how!?

Significance levels for a correlation coefficient depend on the number
of degrees of freedom. Which is for an independent sample (N-2). In my
case the data is dependent, which means that the number of time steps
is bigger than N, with N being the equivalent sample size. How were
the degrees of freedom reduced by my transformation? What is the size
of N?

Thanks in advance


If you are re-constructing a series from k coefficients that
are non-zero, then d.f. for the re-constructed series cannot
be greater than k.
That's an essential meaning of "degrees of freedom."

Someone who knows time series would probably have to
know more about the problem to say whether you can
test what you are proposing -- It seems to me that you
probably have to make further assumptions, to get rid
of other sorts of artifacts.

__
Rich Ulrich

http://www.pitt.edu/~wpilib/index.html
.

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