Some algorithms to calculate correlation between time series

Reference:

Spiros Papadimitriou, Jimeng Sun, and Philip S. Yu. 2006. Local Correlation Tracking in Time Series. In Proceedings of the Sixth International Conference on Data Mining (ICDM '06). IEEE Computer Society, Washington, DC, USA, 456-465. DOI: https://doi.org/10.1109/ICDM.2006.99