Multivariate correlograms

In the real world there may be a large number of variables that change with time, for example the composition of a manufactured product. In a chemical plant the resultant material could depend on a huge number of factors such as the quality of the raw material, the performance of the apparatus and even the time of day, which could relate to who is on shift or small changes in power supplies. Instead of monitoring each factor individually, it is common to obtain an overall statistical indicator, often related to a principal component (see Chapter 4). The correlogram is computed of this mathematical summary of the raw data rather than the concentration of an individual constituent. 

Time Series 1 Series 2 Time Series 1 Series 2 

Two time series (top) and their corresponding cross-correlogram (bottom) 

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