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
