CovarianceFunction

CovarianceFunction[data, hspec] estimates the covariance function at lags hspec from data.

CovarianceFunction[proc, hspec] represents the covariance function at lags hspec for the random process proc.

CovarianceFunction[proc, s, t] represents the covariance function at times s and t for the random process proc.

Examples

Estimate covariance from data:

data = RandomReal[1, 100];
CovarianceFunction[data, {1, 2, 3}]

Covariance function of a Wiener process:

CovarianceFunction[WienerProcess[], s, t]
(* Min[s, t] *)

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