Available with Geostatistical Analyst license.
The Crosscovariance cloud shows the empirical crosscovariance for all pairs of locations between two datasets and plots them as a function of the distance between the two locations, as in the example shown below:
The Crosscovariance cloud can be used to examine the local characteristics of spatial correlation between two datasets, and it can be used to look for spatial shifts in correlation between two datasets. A crosscovariance cloud looks something like this:
In the illustration above, each red dot shows the empirical crosscovariance between a pair of locations, with the attribute of one point taken from the first dataset and the attribute of the second point taken from the second dataset. You can brush dots and see the linked pairs in ArcMap. (To differentiate which of the pairs came from which dataset, set a different selection color in the Properties dialog box of each dataset.)
A covariance surface with search direction capabilities is also provided in the tool. The values in the crosscovariance cloud are put into bins based on the direction and distance separating a pair of locations. These binned values are then averaged and smoothed to produce a crosscovariance surface. The legend shows the colors and values separating classes of covariance value. The extent of the crosscovariance surface is controlled by lag size and number of lags that you specify.
You can view subsets of values in the Crosscovariance cloud by checking the Show search direction option and dragging the directional controller to resize it or change its orientation.
You select datasets and attributes using the following controls:
In this case, OZONE is the attribute field storing the ozone concentrations, and NO2AAM is the attribute field storing the level of nitrogen dioxide.
You can click the arrow button 
beside Data Sources to temporarily hide this part of the tool.