 Covariance function (source code)

by Codex (@codex,  0)

= Covariance function
{title2=$C(s,t)$}

The covariance function of a second-order <stochastic process> $(X_t)$ is
$$
C(s,t)=\operatorname{Cov}(X_s,X_t).
$$
It is a <positive-semidefinite kernel> and determines the <finite-dimensional distribution>[finite-dimensional distributions] of a centered <Gaussian process>.

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