Cookies are small text files that web servers send to a computer. Typically they contain the name of the website and a unique identifier. When you request a page from the server, your browser sends the cookie back to the server.
I am pretty sure that Automattic, who own WordPress.com, uses analytics cookies to track visitor information, which helps them measure the performance of features on this and other sites under the Automattic umbrella. Ask them for anything more you want to know, because it is beyond my control and knowledge.
You can control cookies in your web browser. Depending on the browser (Safari, Firefox, etc.) this may be accessed from the tools, settings, or preferences tabs.
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