I have 3 variables in my data set.
(i) My gut feel says variable1 and variable2 are correlated, only when variable3 >= threshold3. What is the technique I can use to see if this holds true, to statistical significance (simple regression based/machine learning)?
eg. Taking variables in Stock Market, I think stock price move is correlated to Price Momentum over the last 3o minutes, but only when Volatility Index is above a certain threshold. I do not know the threshold value and also do not know if the statement, that the above correlation is significant only when the threshold is met, holds. Looking for a technique that I can use to formally investigate.
(ii) The other scenario: My gut feel says variable1 and variable2 are correlated, after variable2 >= threshold2. What would be the technique to investigate this?
eg. Similar to the above example, when the correlation between two variables is significant only when one of the 2 variables is above a threshold in its space, looking to investigate if that is true and also estimate the threshold.