From AMS Glossary
The set of all possible variances and covariances between velocities in the three Cartesian directions, defined for a specified statistical order or moment.
For example, the second moment correlation triangle is
where squared quantities are velocity variances and the other terms are covariances. For first-order turbulence closure parameterizations, all of the terms in the correlation triangle above represent unknowns, and must be approximated. For higher-order closure, larger triangles of unknowns would exist.