 Periodic covariance function

This covariance function is periodic with period $P>0$. Map time to the circle $u(t)=(\cos (2\pi t/P),\sin (2\pi t/P))$ and pull back a Gaussian kernel; since $\Vert u(t)-u(t^{\prime }){\Vert }^2=4{\sin }^2(\pi (t-t^{\prime })/P)$, this proves positive semidefiniteness. A Gaussian process with this kernel has $\mathrm{Var}(f(t+P)-f(t))=0$ and therefore repeats at every fixed phase. Replacing the inner $\pi$ by $2\pi$ changes the actual period to $P/2$.