Explicit Karhunen-Loève expansions related to the Green function of the Laplacian

• Autorzy: J.-R. Pycke
• Języki publikacji: EN

Abstrakty

EN

Karhunen-Loève expansions of Gaussian processes have numerous applications in Probability and Statistics. Unfortunately the set of Gaussian processes with explicitly known spectrum and eigenfunctions is narrow. An interpretation of three historical examples enables us to understand the key role of the Laplacian. This allows us to extend the set of Gaussian processes for which a very explicit Karhunen-Loève expansion can be derived.

Kategorie tematyczne

• 62G10: Hypothesis testing
• 62E20: Asymptotic distribution theory

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Banach Center Publications
• Rocznik: 2006
• Tom: 72
• Numer: 1
• Strony: 263-270

Daty

wydano

2006

Twórcy

autor

J.-R. Pycke

• L.S.T.A, Jean-Renaud Pycke, Université Paris VI, case 158, 175 rue du Chevaleret, 75013 Paris, France

Identyfikatory

DOI

10.4064/bc72-0-17