The Covariance Function

In this chapter, the covariance and correlation functions are presented

as basic methods to represent stationary time series. The autocovariance

function is a tool to represent the relation between past and present val-

ues of time series and the cross-covariance function is to express the

relation between two time series. These covariance functions are used to

capture features of time series to estimate the spectrum and to build time

series models.