As the title implies I am having difficulty differentiating between the correlation matrix and the cross correlation matrix with reference to time series data. Could anyone enlighten me please? Is the only difference that the cross correlation uses a sliding window to calculate the correlation over time whereas the correlation is time independent?
According to wikipedia the cross correlation is a measure of similarity of two series as a function of the displacement of one relative to the other. That is one signal is delayed relative to the other and the correlation between the two is calculated, kind of similar to the autocorrelation but with another signal rather than itself.