A Karhunen-Lo\`{e}ve Theorem for Random Flows in Hilbert spaces

arXiv2303.00702MaRDI QIDQ6428099FDOQ6428099

Kartik G. Waghmare, Victor M. Panaretos, Leonardo V. Santoro

Publication date: 1 March 2023

Abstract: We develop a generalisation of Mercer's theorem to operator-valued kernels in infinite dimensional Hilbert spaces. We then apply our result to deduce a Karhunen-Lo`eve theorem, valid for mean-square continuous Hilbertian functional data, i.e. flows in Hilbert spaces. That is, we prove a series expansion with uncorrelated coefficients for square-integrable random flows in a Hilbert space, that holds uniformly over time.

Mathematics Subject Classification ID

Functional data analysis (62R10) General second-order stochastic processes (60G12)

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