Cross-correlation matrix

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Part of a series on Statistics
Correlation and covariance
For random vectors Autocorrelation matrix Cross-correlation matrix Auto-covariance matrix Cross-covariance matrix
For stochastic processes Autocorrelation function Cross-correlation function Autocovariance function Cross-covariance function
For deterministic signals Autocorrelation function Cross-correlation function Autocovariance function Cross-covariance function
v t e

The cross-correlation matrix of two random vectors is a matrix containing as elements the cross-correlations of all pairs of elements of the random vectors. The cross-correlation matrix is used in various digital signal processing algorithms.