Covariance function

In probability theory and statistics, the covariance function describes how much two random variables
change together (their covariance) with varying spatial or temporal separation. For a random field or
stochastic process Z(x) on a domain D, a covariance function C(x, y) gives the covariance of the values of
the random field at the two locations x and y:

The same C(x, y) is called the autocovariance function in two instances: in time series (to denote exactly the
same concept except that x and y refer to locations in time rather than in space), and in multivariate random
fields (to refer to the covariance of a variable with itself, as opposed to the cross covariance between two
different variables at different locations, Cov(Z(x1 ), Y(x2 ))).[1]

Admissibility
For locations x1 , x2 , …, xN ∈ D the variance of every linear combination

can be computed as

A function is a valid covariance function if and only if[2] this variance is non-negative for all possible
choices of N and weights w1 , …, wN. A function with this property is called positive semidefinite.

Simplifications with stationarity

In case of a weakly stationary random field, where

for any lag h, the covariance function can be represented by a one-parameter function

which is called a covariogram and also a covariance function. Implicitly the C(xi,  xj) can be computed
from Cs(h) by:
The positive definiteness of this single-argument version of the covariance function can be checked by
Bochner's theorem.[2]

Parametric families of covariance functions

For a given variance , a simple stationary parametric covariance function is the "exponential covariance
function"

where V is a scaling parameter (correlation length), and d  =  d(x,y) is the distance between two points.
Sample paths of a Gaussian process with the exponential covariance function are not smooth. The "squared
exponential" (or "Gaussian") covariance function:

is a stationary covariance function with smooth sample paths.

The Matérn covariance function and rational quadratic covariance function are two parametric families of
stationary covariance functions. The Matérn family includes the exponential and squared exponential
covariance functions as special cases.

See also
Autocorrelation function
Correlation function
Covariance matrix
Covariance operator – Operator in probability theory
Kriging
Positive-definite kernel
Random field
Stochastic process
Variogram

References
1. Wackernagel, Hans (2003). Multivariate Geostatistics. Springer.
2. Cressie, Noel A.C. (1993). Statistics for Spatial Data. Wiley-Interscience.

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