Covariance operator

In probability theory, for a probability measure P on a Hilbert space H with inner product $\langle \cdot ,\cdot \rangle$ , the covariance of P is the bilinear form Cov: H × H → R given by

\mathrm {Cov} (x,y)=\int _{H}\langle x,z\rangle \langle y,z\rangle \,\mathrm {d} \mathbf {P} (z)

for all x and y in H. The covariance operator C is then defined by

\mathrm {Cov} (x,y)=\langle Cx,y\rangle

(from the Riesz representation theorem, such operator exists if Cov is bounded). Since Cov is symmetric in its arguments, the covariance operator is self-adjoint.

Even more generally, for a probability measure P on a Banach space B, the covariance of P is the bilinear form on the algebraic dual B^#, defined by

\mathrm {Cov} (x,y)=\int _{B}\langle x,z\rangle \langle y,z\rangle \,\mathrm {d} \mathbf {P} (z)

where $\langle x,z\rangle$ is now the value of the linear functional x on the element z.

Quite similarly, the covariance function of a function-valued random element (in special cases is called random process or random field) z is

\mathrm {Cov} (x,y)=\int z(x)z(y)\,\mathrm {d} \mathbf {P} (z)=E(z(x)z(y))

where z(x) is now the value of the function z at the point x, i.e., the value of the linear functional $u\mapsto u(x)$ evaluated at z.

References

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v t e Analysis in topological vector spaces
Basic concepts	Abstract Wiener space Classical Wiener space Bochner space Convex series Cylinder set measure Infinite-dimensional vector function Matrix calculus Vector calculus
Derivatives	Differentiable vector–valued functions from Euclidean space Differentiation in Fréchet spaces Fréchet derivative Total Functional derivative Gateaux derivative Directional Generalizations of the derivative Hadamard derivative Holomorphic Quasi-derivative
Measurability	Besov measure Cylinder set measure Canonical Gaussian Classical Wiener measure Measure like set functions infinite-dimensional Gaussian measure Projection-valued Vector Bochner / Weakly / Strongly measurable function Radonifying function
Integrals	Bochner Direct integral Dunford Gelfand–Pettis/Weak Regulated Paley–Wiener
Results	Cameron–Martin theorem Inverse function theorem Nash–Moser theorem Feldman–Hájek theorem No infinite-dimensional Lebesgue measure Sazonov's theorem Structure theorem for Gaussian measures
Related	Crinkled arc Covariance operator
Functional calculus	Borel functional calculus Continuous functional calculus Holomorphic functional calculus
Applications	Banach manifold (bundle) Convenient vector space Choquet theory Fréchet manifold Hilbert manifold

v t e Hilbert spaces
Basic concepts	Adjoint Inner product and L-semi-inner product Hilbert space and Prehilbert space Orthogonal complement Orthonormal basis
Main results	Bessel's inequality Cauchy–Schwarz inequality Riesz representation
Other results	Hilbert projection theorem Parseval's identity Polarization identity (Parallelogram law)
Maps	Compact operator on Hilbert space Densely defined Hermitian form Hilbert–Schmidt Normal Self-adjoint Sesquilinear form Trace class Unitary
Examples	Cⁿ(K) with K compact & n<∞ Segal–Bargmann F