computes correlations between all variable pairs in a segmented time series

    .. note:: this feature is expensive to compute with the current implementation, and cannot be
    used with univariate time series

def corr2(X):
    ''' computes correlations between all variable pairs in a segmented time series

    .. note:: this feature is expensive to compute with the current implementation, and cannot be
    used with univariate time series
    '''
    X = np.atleast_3d(X)
    N = X.shape[0]
    D = X.shape[2]

    if D == 1:
        return np.zeros(N, dtype=np.float)

    trii = np.triu_indices(D, k=1)
    DD = len(trii[0])
    r = np.zeros((N, DD))
    for i in np.arange(N):
        rmat = np.corrcoef(X[i])  # get the ith window from each signal, result will be DxD
        r[i] = rmat[trii]
    return r