Calculate the difference of the correlation coefficients of two competing ensemble forecasts for the same observation. Confidence intervals and a p value of a onesided test for equality are calculated to evaluate the difference.
1  CorrDiff(ens, ens.ref, obs, sign.level=0.05)

ens 
N*K matrix. A collection of N ensemble forecasts, each with K members. 
ens.ref 
A N*L matrix. A collection of N ensemble forecasts, each with L members, which predict the same observation as 'ens'. 
obs 
vector of length N. The verifying observations that 'ens' and 'ens.ref' try to predict. 
sign.level 
The significance level of the confidence interval of the correlation difference. 
The function returns a vector of length 4. The first element is the difference of the correlation coefficients 'cor(ens, obs)  cor(ens.ref, obs)'. The second and third element are the lower and upper confidence limits corresponding to 'sign.level', calculated using results from Zou (2007). The 4th element is a pvalue of a onesided ttest for zero difference, calculated using the result from Steiger (1980).
Steiger, JH (1980). Tests for Comparing Elements of a Correlation Matrix. Psychological Bulletin Vol. 87, No. 2, pp 245251
Zou, GY (2007). Toward Using Confidence Intervals to Compare Correlation. Psychological Methods Vol. 12, No. 4, pp 399413
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