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

10Citations
Citations of this article
5Readers
Mendeley users who have this article in their library.

Abstract

We obtain the explicit Karhunen-Loeve decomposition of a Gaussian process generated as the limit of an empirical process based upon independent pairs of exponential random variables. The orthogonal eigenfunctions of the covariance kernel have simple expressions in terms of Jacobi polynomials. Statistical applications, in extreme value and reliability theory, include a Cramér-von Mises test of bivariate independence, whose null distribution and critical values are tabulated. © 2008 Elsevier Inc. All rights reserved.

Cite

CITATION STYLE

APA

Deheuvels, P., & Martynov, G. V. (2008). A Karhunen-Loeve decomposition of a Gaussian process generated by independent pairs of exponential random variables. Journal of Functional Analysis, 255(9), 2363–2394. https://doi.org/10.1016/j.jfa.2008.07.021

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Save time finding and organizing research with Mendeley

Sign up for free