I haven't looked at fBasics::correlationTest, but cor.test uses the t distribution to evaluate significance:
t = sqrt(df) * r/sqrt(1 - r^2) where df=n-2 If you solve that for r, you get r = t/sqrt(t^2+100-2) If you choose t as qt(.975, df) for a two-tailed test at p<.05 you can plug in t and place your limits at +/- of that value. Eg for 100 observations: > t <- qt(.975, 98) > t [1] 1.984467 > rlim <- t/sqrt(t^2+100-2) > rlim [1] 0.1965512 > rs <- replicate(1000, cor(rnorm(100), rnorm(100))) > hist(rs) > abline(v=c(-rlim, rlim)) ------------------------------------- David L Carlson Department of Anthropology Texas A&M University College Station, TX 77840-4352 -----Original Message----- From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On Behalf Of Jim Lemon Sent: Thursday, November 14, 2013 9:44 PM To: jpm miao Cc: r-help Subject: Re: [R] Find the cutoff correlation value for Pearson correlation test On 11/15/2013 12:53 PM, jpm miao wrote: > Hi, > > I find a few Pearson correlation test functions like > > fBasics::correlationTest or stats::cor.test > > which give the p-value of the test result. Is there a function that > calculate the cutoff correlation value for a specific p-value , e.g., p = > 0.05? > > I have a plot for the cross correlations between two time series, and I > would like to add a horizontal line that marks the significance of the > correlations. Hi Miao, Perhaps you could use the confidence interval. Jim ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
