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A note on Karhunen–Loève expansions for the demeaned stationary Ornstein–Uhlenbeck process.
- Source :
-
Statistics & Probability Letters . Oct2016, Vol. 117, p113-117. 5p. - Publication Year :
- 2016
-
Abstract
- In this paper we obtain the Karhunen–Loève expansion and distribution identity for the demeaned stationary Ornstein–Uhlenbeck process. Some applications are given to small deviation asymptotic behavior for the L 2 norm and Laplace transform for the process. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 01677152
- Volume :
- 117
- Database :
- Academic Search Index
- Journal :
- Statistics & Probability Letters
- Publication Type :
- Periodical
- Accession number :
- 116760684
- Full Text :
- https://doi.org/10.1016/j.spl.2016.05.017