yes, there are.

please review a brief generic intro example in matlab help (applied answer)

http://www.mathworks.com/help/toolbox/signal/ug/f12-6515.html

label-section: Multiple Channels

Thank you, Beto CL, this 'Multiple Channels' section was interesting. Those functions 'xcorr' and 'xcov' functions of Signal Processing Toolbox seem indeed useful when dealing with time signals, since they consider autocorrelations at all possible (or maxlags) besides usual (lag 0) cross-correlations.

Wikipedia mentions the combination of inter-correlation matrix (containing correlations between all possible pairs of predictor variables) with cross-correlation vector (containing correlations between each predictor variable and the target variable) as 'the coefficient of multiple determination':

http://en.wikipedia.org/wiki/Multiple_correlation

But you need to choose target variable. If you choose each variable in turn as a target, then you'll end up with many determination coefficients (R^2). These, by applying very simple formula [ 1 / (1 - R^2) ], can be transformed into VIFs (variance inflation factors), or tolerances (1/VIF). They are widely used for multicollinearity detection.

Also 'path analysis' may be interesting if you have short time series:

http://www.stattools.net/MReg_Exp.php#Path%20analysis

Recently I came across a very powerful generalization of correlation for various types of data - Krippendorff's alpha:

http://en.wikipedia.org/wiki/Krippendorff's_alpha

Since it's not intended for continuous data, you'd need to discretize your signals (at least to some degree of quantization). Also, as far as I understood, this alpha does not consider autocorrelations, but it handles missing values and allows you to analyse not only metric data (of interval scale), but also non-metric (binary, nominal, ordinal, interval, ratio, polar, and circular levels of measurement).

Múltiple Cross Wavelet Transform :

https://www.researchgate.net/publication/260995415_A_review_of_Holocene_solar-linked_climatic_variation_on_centennial_to_millennial_timescales_Physical_processes_interpretative_frameworks_and_a_new_multiple_cross-wavelet_transform_algorithm?ev=prf_pub

Article A review of Holocene solar-linked climatic variation on cent...

Dear all,

there is one (continuous case): http://onlinelibrary.wiley.com/doi/10.1111/joes.12012/abstract?deniedAccessCustomisedMessage=&userIsAuthenticated=false

o this other (discrete case):

http://www.sciencedirect.com/science/article/pii/S0378437111008375

cheers,

.--.

Josue

yes,

https://www.sciencedirect.com/topics/mathematics/crosscorrelation-function