Let $X$ be a random vector taking values in a
separable Hilbert space $H$ such that $E\|X\|^2<\infty$ and $E X=\mu$. Then the covariance operator $R\colon H\to H$ is defined by
\begin{equation*}
 Rx:=E\langle x,X-\mu\rangle (X-\mu)=E\overline{\langle X-\mu,x\rangle}(X-\mu) 
\end{equation*} 
for $x\in H$. 

A brief account on the compactness of the covariance operator and its spectral decomposition is given in Appendices E and F of the paper at \url{http://projecteuclid.org/euclid.ejs/1460463653}.