Effective degrees of freedom of the Pearson’s correlation coefficient under autocorrelation
The dependence between pairs of time series is commonly quantified by Pearson's correlation. However, if the time series are themselves dependent (i.e. exhibit temporal autocorrelation), the effective degrees of freedom (EDF) are reduced, the standard error of the sample correlation coefficient...
| Main Authors: | , , |
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| Format: | Journal article |
| Published: |
Elsevier
2019
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