A brief note on the Karhunen-Lo\`eve expansion

Alen Alexanderian

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arXiv · 1509.07526

A brief note on the Karhunen-Lo\`eve expansion

Alen Alexanderian

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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.

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Alen Alexanderian. 2015-09-24. A brief note on the Karhunen-Lo\`eve expansion. https://arxiv.org/abs/1509.07526

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