The common approach to inertial sensor calibration has been to model the stochastic error signals of individual sensors independently, whether as components of a single inertial measurement unit (IMU) in different directions or arrayed in the same direction for redundancy. For this purpose, research in this domain has been focused on the proposal of various methods to improve the estimation of these models both from a computational and a statistical point of view. However, the separate calibration of the individual sensors is unable to take into account the dependence between each of them which can have an important impact on the precision of the navigation systems. In this paper, we develop a new approach to simultaneously model the individual signals and the dependence between them by studying the quantity called Wavelet Cross-Covariance and using it to extend the application of the Generalized Method of Wavelet Moments. This new method can be used in other settings for time series modeling, especially in cases where the dependence among signals may be hard to detect. Moreover, in the field of inertial sensor calibration, this approach can deliver important contributions among which the possibility to test dependence between sensors, integrate their dependence within the navigation filter and construct an optimal virtual sensor that can be used to simplify and improve navigation accuracy. The advantages of this method and its usefulness for inertial sensor calibration are highlighted through a simulation study and an applied example with a small array of XSens MTi-G IMUs.