The average value of the quantity x(r1) * x(r2); where x is a randomly varying function of the variable r, and r1 and r2 are two given values of r. Covariance describes the interdependence between variables and is typically expressed in a variance-covariance matrix where the diagonal elements are the variances of the corresponding variables, and those off the main diagonal are the covariance values.
Source
http://www.rbf.com/cgcc/glossary.htm