In high mobility applications of millimeter wave (mmWave) communications, e.g., vehicle-to-everything communication and next-generation cellular communication, frequent link configuration can be a source of significant overhead. We use the sub-6 GHz channel covariance as an out-of-band side information for mmWave link configuration. Assuming: (i) a fully digital architecture at sub-6 GHz; and (ii) a hybrid analog-digital architecture at mmWave, we propose an out-of-band covariance translation approach and an out-of-band aided compressed covariance estimation approach. For covariance translation, we estimate the parameters of sub-6 GHz covariance and use them in theoretical expressions of covariance matrices to predict the mmWave covariance. For out-of-band aided covariance estimation, we use weighted sparse signal recovery to incorporate out-of-band information in compressed covariance estimation. The out-of-band covariance translation eliminates the in-band training completely, whereas out-of-band aided covariance estimation relies on in-band as well as out-of-band training. We also analyze the loss in the signal-to-noise ratio due to an imperfect estimate of the covariance. The simulation results show that the proposed covariance estimation strategies can reduce the training overhead compared to the in-band only covariance estimation.