The covariance of two
random variables
X and
Y is the
expectation of their
product,
minus the product of their expectations:
CovXY = EXY - EX EY
Covariance is of course analogous to the variance of a single random variable. The covariance function of a random process is its autocovariance; if this random process forms a vector, then the autocovariance of this vector forms its covariance matrix.