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Differentiation of the modified approximative Karhunen-Loeve expansion of a stochastic process

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  • Ruiz-Molina, Juan Carlos
  • Navarro, Jesús
  • Valderrama, J. Mariano

Abstract

A modification of the approximative Karhunen-Loeve expansion of a stochastic process is proposed and the convergence of both the modified expansion and its mth derivative are studied. Likewise, an expansion for the covariance function is provided.

Suggested Citation

  • Ruiz-Molina, Juan Carlos & Navarro, Jesús & Valderrama, J. Mariano, 1999. "Differentiation of the modified approximative Karhunen-Loeve expansion of a stochastic process," Statistics & Probability Letters, Elsevier, vol. 42(1), pages 91-98, March.
    • Handle: RePEc:eee:stapro:v:42:y:1999:i:1:p:91-98
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    References listed on IDEAS

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    1. Ruiz-Molina, Juan Carlos & Valderrama, Mariano J., 1996. "On the derivation of a suboptimal filter for signal estimation," Statistics & Probability Letters, Elsevier, vol. 28(3), pages 239-243, July.
    2. Ramón Gutiérrez & Juan Carlos Ruiz & Mariano J. Valderrama, 1992. "On the numerical expansion of a second order stochastic process," Applied Stochastic Models and Data Analysis, John Wiley & Sons, vol. 8(2), pages 67-77, June.
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