Karhunen–Loeve expansion for the additive detrended Brownian motion

Xiaohui Ai

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 16, 8210-8216

Abstract: In this article, we obtain the Karhunen–Loeve expansion and Pythagorean type distribution identities for the additive detrended Brownian motion. As applications, the corresponding Laplace transform and small-deviation asymptotic behavior for the L2 norm are given.

Date: 2017
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DOI: 10.1080/03610926.2016.1177079

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