A brief note on the Karhunen-Loève expansion

2015/09/24 by Alexanderian, Alen · 2 citations
#60G12 #60G15 #62M15 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1509.07526

Abstract

We provide a detailed derivation of the Karhunen-Loève expansion of a stochastic process. We also discuss briefly Gaussian processes, and provide a simple numerical study for the purpose of illustration.

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