Covariance operator

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

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

(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. When P is a centred Gaussian measure, C is also a
nuclear operator. In particular, it is a compact operator of trace class, that is, it has finite trace.

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

where 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

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

See also
Abstract Wiener space – separable Banach space equipped with a Hilbert subspace such
that the standard cylinder set measure on the Hilbert subspace induces a Gaussian
measure on the whole Banach space
Cameron–Martin theorem – Theorem of measure theory
Feldman–Hájek theorem
Structure theorem for Gaussian measures

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