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According to wiki, covariance is a measure of the joint variability of two random variables.

Isnt Xt+h one particular value and Xt another value.. So what does it mean when you say covariance between these two values?

Goutham
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  • In this context, $X_t$ is a [random variable](https://en.wikipedia.org/wiki/Random_variable). For example, $X_t$ may denote whether a coin flip lands heads or tails at time $t$. Or $X_t$ may denote the closing value of the S&P500 index on day $t$. Typically a random variable $X_t$ is defined so that the value of $X_t$ is known at time $t$. – Matthew Gunn Feb 11 '18 at 14:49
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    What, if anything, do you understand by covariance? What you ciaim to have read _as per the title of your question_, is incorrect, and it would help if you would let us know what misconceptions you have about the notion of covariance. – Dilip Sarwate Feb 11 '18 at 14:52
  • Maybe this thread will help: https://stats.stackexchange.com/questions/126791. – whuber Feb 11 '18 at 17:31

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