The covariance of two

random variables

*X* and

*Y* is the

expectation of their

product,

minus the product of their expectations:

Cov*XY* = E*XY* - E*X* E*Y*

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.