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Structural Properties

The positive definite character of the covariance function $C(/boma{h})$ entails the following properties:

$C(/boma{0}) = Var(Z({/boma x})) /geq 0$, an a priori variance cannot be negative;

$C(/boma{h}) = C(-/boma{h})$, the covariance is an even function;

$/vert C(/boma{h})/vert / /leq C(/boma{0})$, Schwarz's inequality.

Since the degree of correlation between two variables $Z(/boma{x})$ and $Z(/boma{x}+/boma{h})$ generally decreases as the distance $/vert /boma{h}/vert$ between them increases, so, in general, does the covariance function, which decreases from its value at the origin $C(/boma{0})$. Correspondingly, the semi-variogram $/gamma(/boma{h})=C(/boma{0})-C(/boma{h})$ increases from its value at the origin, $/gamma(/boma{0})=0$.



Subsections

Rudolf Dutter 2003-03-13