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

MaRDI QIDQ6428099zbMATH OpenFDO

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

Publication date 1 March 2023

Mathematics Subject Classification ID

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

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.

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