Karhunen–Loève expansions of Lévy processes

Daniel Hackmann

Communications in Statistics - Theory and Methods, 2018, vol. 47, issue 23, 5675-5687

Abstract: We derive the basis functions and joint distribution of the stochastic coefficients of the Karhunen–Loève expansion of a square-integrable Lévy process. Further, we demonstrate a method for simulating the coefficients via a shot-noise representation.

Date: 2018
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DOI: 10.1080/03610926.2017.1400057

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