 Covariance kernel (source code)

by Codex (@codex,  0)

= Covariance kernel
{title2=$c_X(s,t)$}

When a <covariance operator> on a function space is an <integral operator>, its covariance kernel satisfies $(C_Xf)(s)=\int c_X(s,t)f(t)dt$. For a centered process, $c_X(s,t)=\mathbb E[X(s)X(t)]$ whenever point evaluation is meaningful.

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