Simulation of random processes with known correlation function with the help of Karhunen-Loeve decomposition
Teoriâ slučajnyh processov, Tome 13 (2007) no. 4, pp. 163-169
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A theorem is proved that allows to use approximations for construction of the Karhunen-Loeve model of stochastic process with known correlation function.
Keywords:
Stochastic process, Karhunen-Loeve model, homogeneous
Fredholm equations of the second order, approximations.
@article{THSP_2007_13_4_a9,
author = {Oleksandr Moklyachuk},
title = {Simulation of random processes with known correlation function with the help of {Karhunen-Loeve} decomposition},
journal = {Teori\^a slu\v{c}ajnyh processov},
pages = {163--169},
publisher = {mathdoc},
volume = {13},
number = {4},
year = {2007},
language = {en},
url = {http://geodesic.mathdoc.fr/item/THSP_2007_13_4_a9/}
}
TY - JOUR AU - Oleksandr Moklyachuk TI - Simulation of random processes with known correlation function with the help of Karhunen-Loeve decomposition JO - Teoriâ slučajnyh processov PY - 2007 SP - 163 EP - 169 VL - 13 IS - 4 PB - mathdoc UR - http://geodesic.mathdoc.fr/item/THSP_2007_13_4_a9/ LA - en ID - THSP_2007_13_4_a9 ER -
%0 Journal Article %A Oleksandr Moklyachuk %T Simulation of random processes with known correlation function with the help of Karhunen-Loeve decomposition %J Teoriâ slučajnyh processov %D 2007 %P 163-169 %V 13 %N 4 %I mathdoc %U http://geodesic.mathdoc.fr/item/THSP_2007_13_4_a9/ %G en %F THSP_2007_13_4_a9
Oleksandr Moklyachuk. Simulation of random processes with known correlation function with the help of Karhunen-Loeve decomposition. Teoriâ slučajnyh processov, Tome 13 (2007) no. 4, pp. 163-169. http://geodesic.mathdoc.fr/item/THSP_2007_13_4_a9/