Cross-correlation - Time Series Analysis

Time Series Analysis

In time series analysis, as applied in statistics, the cross correlation between two time series describes the normalized cross covariance function.

Let represent a pair of stochastic processes that are jointly wide sense stationary. Then the cross covariance is given by

where and are the means of and respectively.

The cross correlation function is the normalized cross-covariance function.

where and are the standard deviations of processes and respectively.

Note that if for all t, then the cross correlation function is simply the autocorrelation function.