Adding a 95% confidence interval to mscohere output - overlapping vs non-overlapping section with Welch's periodogram

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Mary on 30 Jul 2014

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https://nl.mathworks.com/matlabcentral/answers/144131-adding-a-95-confidence-interval-to-mscohere-output-overlapping-vs-non-overlapping-section-with-we

Answered: Dimitris Fotis Sakellariou on 23 May 2018

I am trying to evaluate the significance of the coherence between two signals calculated using mscohere. I have found many papers quoting 1-0.05^(1/L-1) where L is the number of non-overlapping sections used. However, I am using 50% overlapping sections in mscohere to get a better estimate, so I am not sure how to calculate the 95% confidence interval from the above formula. From what I can see there was a built in confidence level option in 'cohere' but that does not seem to be present in 'mscohere' which uses Welch's periodogram in calculating the coherence. Is there another built-in matlab function to calculate the confidence interval based on overlapping sections? Or should I use non-overlapping sections to get a correct (mathematically) result (non-preferred option!)?

Any help or hints appreciated.