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

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.

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Year of publication:	1999
Authors:	Ruiz-Molina, Juan Carlos ; Navarro, Jesús ; Valderrama, J. Mariano
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 42.1999, 1, p. 91-98
Publisher:	Elsevier
Keywords:	Approximative Karhunen-Loeve expansion Modified approximative expansion Differentiation of the modified approximative expansion

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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