I am trying to find anomalies in time series data with geolocations. For different time intervals, e.g. for some week or for some day or for 6 consecutive months, I want to learn whether there is spatial auto cross correlation (whether time series of locations which are close to each other are often correlated).
It seems that Moran's I is unsuitable for my case because it does not support cross-correlation (aka correlation of time series), it can only work with one value per location.
Bonus points if the algorithm can also find correlation with small time lag.
I will also cluster my locations by geographic coordinates or by theme and then use the algorithm to check whether clustering makes sense - whether time series inside of clusters are correlated.