Differentiation of the modified approximative Karhunen-Loève expansion of a stochastic process

DOI10.1016/S0167-7152(98)00209-0zbMath0944.60039OpenAlexW2128156447MaRDI QIDQ1962154

Jesús Navarro, Juan Carlos Ruiz-Molina, Mariano J. Valderrama

Publication date: 26 September 2000

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(98)00209-0

zbMATH Keywords

approximate Karhunen-Loève expansiondifferentiation of the modified approximative expansionmodified approximative expansion

Mathematics Subject Classification ID

General second-order stochastic processes (60G12)

Cites Work

• An introduction to stochastic processes and their applications
• Kalman filtering on approximate state-space models
• On the derivation of a suboptimal filter for signal estimation
• On the numerical expansion of a second order stochastic process
• Term-by-Term Differentiability of Mercer's Expansion
• Differentiation of Karhunen-Loève expansion and application to optimum reception of sure signals in noise
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