A citation style (for example, the NLM citation style) is a set of rules that determines the respective citation method and the format of citations as well as the bibliographic references (e.g. universities’ instructions for how to cite in a thesis, citation instructions in journals, etc.). In other words, a citation style contains examples of citations and bibliographic references, including instructions for how to format individual data (e.g. whether the surname of the author should be in capital letters or not, whether the name of the document cited should be in italics, etc.).
In practice, every author must determine what citation style to use, study the style guide carefully and observe its instructions. Note that there is not just one citation style but hundreds of them. In scholarly publishing you will often encounter the citation styles of various scholarly associations (e.g. APA = American Psychological Association) or the citation styles of individual journals, when a journal defines its own citation rules in its instructions for authors.