Autocovariance

The autocovariance function for a random process $X(t)$ is defined by

$$C_x(t_1,t_2)=E[(X(t_1)-m_x(t_1))\cdot (X(t_2))-m_x(t_2)]$$

The autocovariance of white noise, $u(t)=w(t)$

$$A_u=C_x=\delta (t_1-t_2)Q_u,Q_u\succ 0$$

Aka $Q_u$ is a Positive-Definite Matrix