How to calculate correlation p-value?
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I have a correlation matrix and have performed some filtering on it. Now I want to calculate the p-value of the filtered correlation matrix. Can anyone help we with the code. [R,P]=corrcoef(A) returns both the correlation matrix as well as the p-value matrix, but I already have the correlation matrix, and just want to calculate the p-value matrix.
Thank you in advance. Ritankar.
the cyclist on 26 May 2016
You cannot calculate a P-value from only a correlation matrix. You need the underlying data. The reason why is pretty easy to understand ... The correlation matrix could have come from a dataset with maybe N=10 measurements, or perhaps N=100000 measurements. These will (almost certainly) have different P-values.
Anil Kamat on 30 May 2021
Edited: Anil Kamat on 30 May 2021
N --> no.of the observations / data points
r --> assumed corr.coef
t = r*sqrt((N-2)/(1-r^2)); % find t-statistics
p1 = 1 - tcdf(t,(N-2)) % find pvalue using Student's t cumulative distribution function for one sample test.