Fig. 3
From: Statistical significance approximation for local similarity analysis of dependent time series data
The power of LSAres and DDLSA in testing for the local association of two time series data under the bivariate AR model. Ten thousand random samples were generated from the bivariate AR model with ρ1=0.5,ρ2=0.5. The LSAres approach used the residuals from the estimated ARMA(p,q) model by maximum likelihood estimate and order was selected using the AIC criterion. The type I error is 0.05