A brief note on the Karhunen-Lo\`eve expansion
Probability
2015-10-28 v2
Abstract
We provide a detailed derivation of the Karhunen-Lo\`eve expansion of a stochastic process. We also discuss briefly Gaussian processes, and provide a simple numerical study for the purpose of illustration.
Keywords
Cite
@article{arxiv.1509.07526,
title = {A brief note on the Karhunen-Lo\`eve expansion},
author = {Alen Alexanderian},
journal= {arXiv preprint arXiv:1509.07526},
year = {2015}
}
Comments
14 pages. Fixed minor typos; added some references