Karhunen-Loève expansion and reproducing kernel Hilbert space of a mean-centered Gaussian process
Author(s): WANG Min-hui, LIU Guo-qing
Pages: 788-792
Year: 2011 Issue: 6
Journal: Journal of Natural Science of Heilongjiang University
Keyword: Karhunen - Loève expansion; RKSH; Brownian bridge; Gaussian process; Fredholm integral equation of the second kind;
Abstract: Xt=W(t) - αtW(1),t∈[0,b],b和α都是常数,W(t)是标准布朗运动,得到它的Karhunen -Loève展开及再生核希尔伯特空间.所用的方法是Mercer定理和Fredholm积分方程,得到的结果推广了布朗运动和布朗桥的已知结果.
Pages: 788-792
Year: 2011 Issue: 6
Journal: Journal of Natural Science of Heilongjiang University
Keyword: Karhunen - Loève expansion; RKSH; Brownian bridge; Gaussian process; Fredholm integral equation of the second kind;
Abstract: Xt=W(t) - αtW(1),t∈[0,b],b和α都是常数,W(t)是标准布朗运动,得到它的Karhunen -Loève展开及再生核希尔伯特空间.所用的方法是Mercer定理和Fredholm积分方程,得到的结果推广了布朗运动和布朗桥的已知结果.
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