Exponential covariance function
= Exponential covariance function
The stationary exponential covariance function is
$$
k(s,t)=R\exp(-|t-s|/\tau).
$$
The corresponding <Gaussian process> is Markov and is a stationary <Ornstein-Uhlenbeck process>.
= Exponential covariance function
The stationary exponential covariance function is
$$
k(s,t)=R\exp(-|t-s|/\tau).
$$
The corresponding <Gaussian process> is Markov and is a stationary <Ornstein-Uhlenbeck process>.