按照@knedlsepp的建议，并按照

Following the advice from @knedlsepp, and using filter as in the movingstd, I found the following solution, which is quite fast:

function Cor = MovCorr1(Data1,Data2,k)
y = zscore(Data2);
n = size(y,1);

if (n<k)
    Cor = NaN(n,1);
else
    x = zscore(Data1);
    x2 = x.^2;
    y2 = y.^2;
    xy = x .* y;
    A=1;
    B = ones(1,k);
    Stdx = sqrt((filter(B,A,x2) - (filter(B,A,x).^2)*(1/k))/(k-1));
    Stdy = sqrt((filter(B,A,y2) - (filter(B,A,y).^2)*(1/k))/(k-1));
    Cor = (filter(B,A,xy) - filter(B,A,x).*filter(B,A,y)/k)./((k-1)*Stdx.*Stdy);
    Cor(1:(k-1)) = NaN;
end
end

与我的原始解决方案相比，执行时间是:

Comparing with my original solution the execution times are:

tic
MovCorr(Data1,Data2);
toc
Elapsed time is 1.017552 seconds.

tic
MovCorr1(Data1,Data2,21);
toc
Elapsed time is 0.019400 seconds.