Differentiation of the modified approximative Karhunen-Loeve expansion of a stochastic process

Juan Carlos Ruiz-Molina, Jesús Navarro and J. Mariano Valderrama

Statistics & Probability Letters, 1999, vol. 42, issue 1, 91-98

Abstract: A modification of the approximative Karhunen-Loeve expansion of a stochastic process is proposed and the convergence of both the modified expansion and its mth derivative are studied. Likewise, an expansion for the covariance function is provided.

Keywords: Approximative; Karhunen-Loeve; expansion; Modified; approximative; expansion; Differentiation; of; the; modified; approximative; expansion (search for similar items in EconPapers)
Date: 1999
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