Simulation of random processes with known correlation function with the help of Karhunen-Loève decomposition

zbMATH Open1164.60025MaRDI QIDQ3608286FDOQ3608286

Authors: Oleksandr Moklyachuk 

Publication date: 28 February 2009

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zbMATH Keywords

approximationsstochastic processhomogeneous Fredholm equations of the second orderKarhunen-Loève model

Mathematics Subject Classification ID

Gaussian processes (60G15) Probabilistic models, generic numerical methods in probability and statistics (65C20) Fredholm integral equations (45B05)

Cited In (1)

• Bayesian estimation of Karhunen-Loève expansions; a random subspace approach

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