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

<a class="pub-badge pub-badge--grey" href="https://zbmath.org/1164.60025" rel="nofollow">zbMATH</a><a class="pub-badge pub-badge--mardi" href="https://portal.mardi4nfdi.de/wiki/Item:Q3608286" rel="nofollow">MaRDI QID Q3608286</a><a class="pub-badge pub-badge--grey" href="https://fdo.portal.mardi4nfdi.de/fdo/Q3608286" rel="nofollow">FDO</a>

Authors Oleksandr Moklyachuk

Publication date 28 February 2009

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)

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Cited in

(1)

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

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