Lesson plan
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: C(x,y) := \operatorname{cov}(Z(x),Z(y)) = \mathbb{E}\Big[\big(Z(x)-\mathbb{E}[Z(x)]\big)\big(Z(y)-\mathbb{E}[Z(y)]\big) \Big].\, 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(x 1 ), Y(x 2 ))).
Article summary
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: C(x,y) := \operatorname{cov}(Z(x),Z(y)) = \mathbb{E}\Big[\big(Z(x)-\mathbb{E}[Z(x)]\big)\big(Z(y)-\mathbb{E}[Z(y)]\big) \Big].\, 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(x 1 ), Y(x 2 ))).
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Discussion questions
- Summarise the article in your own words. Which single claim would you verify first, and why?
- Which claim in this article is most likely to be revised as the sources update? How would you check its current status?
- If two sources disagreed about one of these facts, what would you need in order to trust one over the other?
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