A Karhunen-Loève decomposition of a Gaussian process generated by independent pairs of exponential random variables

DOI10.1016/J.JFA.2008.07.021MaRDI QIDQ999848zbMATHOpenAlexFDO

Authors P. Deheuvels, Guennadi V. Martynov

Publication date 10 February 2009

Published in Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jfa.2008.07.021

zbMATH Keywords

Gaussian processesreliabilityempirical processesextreme valuesJacobi polynomialsnonparametric testsorthogonal polynomialsFredholm integral equationsweak lawslifetime analysistests of independenceKarhunen-Loève expansionsCramér-von Mises-type tests

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Gaussian processes (60G15) Statistics of extreme values; tail inference (62G32)

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Cited in

(11)

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• The shifted proper orthogonal decomposition: a mode decomposition for multiple transport phenomena
• Multivariate extensions of the Anderson--Darling process.
• On the eigenproblem for Gaussian bridges
• Small-time asymptotics for Gaussian self-similar stochastic volatility models
• A greedy non-intrusive reduced order model for shallow water equations
• MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS
• Partial functional quantization and generalized bridges
• Convergence types and rates in generic Karhunen-Loève expansions with applications to sample path properties
• On three families of Karhunen-Loève expansions associated with classical orthogonal polynomials

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