level of significance using xcorr

Hello,

The xcorr function in Matlab returns the maximum correlation coefficient of two univariate time series data with their corresponding lag. May I know if there is a test of significance/confidence interval for this function in Matlab?

Thanks

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. Retrieved May 7, 2020.

Hope it helps.