The Karhunen-Loève (K-L) expansion of the continuous type is the expansion of a stochastic process with respect to the eigenfunctions of a correlation integral operator. In most practical applications, however, only a finite number of sample values are available. This paper proposes conditions and methods by which the exact eigenvalues and eigenfunctions of the integral operator can be obtained from those of a related matrix.
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Hidemitsu OGAWA, Erkki OJA, "Can We Solve the Continuous Karhunen-Loève Eigenproblem from Discrete Data ?" in IEICE TRANSACTIONS on transactions,
vol. E69-E, no. 9, pp. 1020-1029, September 1986, doi: .
Abstract: The Karhunen-Loève (K-L) expansion of the continuous type is the expansion of a stochastic process with respect to the eigenfunctions of a correlation integral operator. In most practical applications, however, only a finite number of sample values are available. This paper proposes conditions and methods by which the exact eigenvalues and eigenfunctions of the integral operator can be obtained from those of a related matrix.
URL: https://global.ieice.org/en_transactions/transactions/10.1587/e69-e_9_1020/_p
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@ARTICLE{e69-e_9_1020,
author={Hidemitsu OGAWA, Erkki OJA, },
journal={IEICE TRANSACTIONS on transactions},
title={Can We Solve the Continuous Karhunen-Loève Eigenproblem from Discrete Data ?},
year={1986},
volume={E69-E},
number={9},
pages={1020-1029},
abstract={The Karhunen-Loève (K-L) expansion of the continuous type is the expansion of a stochastic process with respect to the eigenfunctions of a correlation integral operator. In most practical applications, however, only a finite number of sample values are available. This paper proposes conditions and methods by which the exact eigenvalues and eigenfunctions of the integral operator can be obtained from those of a related matrix.},
keywords={},
doi={},
ISSN={},
month={September},}
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TY - JOUR
TI - Can We Solve the Continuous Karhunen-Loève Eigenproblem from Discrete Data ?
T2 - IEICE TRANSACTIONS on transactions
SP - 1020
EP - 1029
AU - Hidemitsu OGAWA
AU - Erkki OJA
PY - 1986
DO -
JO - IEICE TRANSACTIONS on transactions
SN -
VL - E69-E
IS - 9
JA - IEICE TRANSACTIONS on transactions
Y1 - September 1986
AB - The Karhunen-Loève (K-L) expansion of the continuous type is the expansion of a stochastic process with respect to the eigenfunctions of a correlation integral operator. In most practical applications, however, only a finite number of sample values are available. This paper proposes conditions and methods by which the exact eigenvalues and eigenfunctions of the integral operator can be obtained from those of a related matrix.
ER -