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| Meta Title | EUDML | On the Karhunen-Loeve expansion for transformed processes. |
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| Boilerpipe Text | Ramón Gutiérrez Jáimez
;
Mariano J. Valderrama Bonnet
Trabajos de Estadística
(1987)
Volume: 2, Issue: 2, page 81-90
ISSN: 0213-8190
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Abstract
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We discuss the influence of the transformation {X(t)} → {f(t) X(τ(t))} on the Karhunen-Loève expansion of {X(t)}. Our main result is that, in general, the Karhunen-Loève expansion of {X(t)} with respect to Lebesgue's measure is transformed in the Karhunen-Loève expansion of {f(t) X(τ(t))} with respect to the measure f-2(t)dτ(t). Applications of this result are given in the case of Wiener process, Brownian bridge, and Ornstein-Uhlenbeck process.
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Gutiérrez Jáimez, Ramón, and Valderrama Bonnet, Mariano J.. "On the Karhunen-Loeve expansion for transformed processes.."
Trabajos de Estadística
2.2 (1987): 81-90. <http://eudml.org/doc/40503>.
@article{GutiérrezJáimez1987,
abstract = {We discuss the influence of the transformation \{X(t)\} → \{f(t) X(τ(t))\} on the Karhunen-Loève expansion of \{X(t)\}. Our main result is that, in general, the Karhunen-Loève expansion of \{X(t)\} with respect to Lebesgue's measure is transformed in the Karhunen-Loève expansion of \{f(t) X(τ(t))\} with respect to the measure f-2(t)dτ(t). Applications of this result are given in the case of Wiener process, Brownian bridge, and Ornstein-Uhlenbeck process.},
author = {Gutiérrez Jáimez, Ramón, Valderrama Bonnet, Mariano J.},
journal = {Trabajos de Estadística},
keywords = {Desarrollo en serie de funciones; Aplicaciones; Procesos de Wiener; Movimiento browniano; Gaussian process; Karhunen-Loève expansion; Wiener process; Brownian bridge; Ornstein-Uhlenbeck process},
language = {eng},
number = {2},
pages = {81-90},
title = {On the Karhunen-Loeve expansion for transformed processes.},
url = {http://eudml.org/doc/40503},
volume = {2},
year = {1987},
}
TY - JOUR
AU - Gutiérrez Jáimez, Ramón
AU - Valderrama Bonnet, Mariano J.
TI - On the Karhunen-Loeve expansion for transformed processes.
JO - Trabajos de Estadística
PY - 1987
VL - 2
IS - 2
SP - 81
EP - 90
AB - We discuss the influence of the transformation {X(t)} → {f(t) X(τ(t))} on the Karhunen-Loève expansion of {X(t)}. Our main result is that, in general, the Karhunen-Loève expansion of {X(t)} with respect to Lebesgue's measure is transformed in the Karhunen-Loève expansion of {f(t) X(τ(t))} with respect to the measure f-2(t)dτ(t). Applications of this result are given in the case of Wiener process, Brownian bridge, and Ornstein-Uhlenbeck process.
LA - eng
KW - Desarrollo en serie de funciones; Aplicaciones; Procesos de Wiener; Movimiento browniano; Gaussian process; Karhunen-Loève expansion; Wiener process; Brownian bridge; Ornstein-Uhlenbeck process
UR - http://eudml.org/doc/40503
ER -
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Mátyás Barczy, Endre Iglói, Karhunen-Loève expansions of α-Wiener bridges
Notes
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# On the Karhunen-Loeve expansion for transformed processes.
[Ramón Gutiérrez Jáimez](https://eudml.org/search/page?q=sc.general*op.AND*l_0*c_0author_0eq%253A1.Ram%25C3%25B3n+Guti%25C3%25A9rrez+J%25C3%25A1imez&qt=SEARCH); [Mariano J. Valderrama Bonnet](https://eudml.org/search/page?q=sc.general*op.AND*l_0*c_0author_0eq%253A1.Mariano+J.+Valderrama+Bonnet&qt=SEARCH)
[Trabajos de Estadística](https://eudml.org/doc/%0A%0A%0A%0A%0A%0A%0A%0A%0A%0A%0A/journal/10033) (1987)
- Volume: 2, Issue: 2, page 81-90
- ISSN: 0213-8190
## Access Full Article
[top](https://eudml.org/doc/40503 "top")
 [Access to full text](http://dmle.icmat.es/revistas/detalle.php?numero=3116)
## Abstract
[top](https://eudml.org/doc/40503 "top")
We discuss the influence of the transformation {X(t)} → {f(t) X(τ(t))} on the Karhunen-Loève expansion of {X(t)}. Our main result is that, in general, the Karhunen-Loève expansion of {X(t)} with respect to Lebesgue's measure is transformed in the Karhunen-Loève expansion of {f(t) X(τ(t))} with respect to the measure f-2(t)dτ(t). Applications of this result are given in the case of Wiener process, Brownian bridge, and Ornstein-Uhlenbeck process.
## How to cite
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Gutiérrez Jáimez, Ramón, and Valderrama Bonnet, Mariano J.. "On the Karhunen-Loeve expansion for transformed processes.." Trabajos de Estadística 2.2 (1987): 81-90. \<http://eudml.org/doc/40503\>.
@article{GutiérrezJáimez1987,
abstract = {We discuss the influence of the transformation \\{X(t)\\} → \\{f(t) X(τ(t))\\} on the Karhunen-Loève expansion of \\{X(t)\\}. Our main result is that, in general, the Karhunen-Loève expansion of \\{X(t)\\} with respect to Lebesgue's measure is transformed in the Karhunen-Loève expansion of \\{f(t) X(τ(t))\\} with respect to the measure f-2(t)dτ(t). Applications of this result are given in the case of Wiener process, Brownian bridge, and Ornstein-Uhlenbeck process.},
author = {Gutiérrez Jáimez, Ramón, Valderrama Bonnet, Mariano J.},
journal = {Trabajos de Estadística},
keywords = {Desarrollo en serie de funciones; Aplicaciones; Procesos de Wiener; Movimiento browniano; Gaussian process; Karhunen-Loève expansion; Wiener process; Brownian bridge; Ornstein-Uhlenbeck process},
language = {eng},
number = {2},
pages = {81-90},
title = {On the Karhunen-Loeve expansion for transformed processes.},
url = {http://eudml.org/doc/40503},
volume = {2},
year = {1987},
}
TY - JOUR
AU - Gutiérrez Jáimez, Ramón
AU - Valderrama Bonnet, Mariano J.
TI - On the Karhunen-Loeve expansion for transformed processes.
JO - Trabajos de Estadística
PY - 1987
VL - 2
IS - 2
SP - 81
EP - 90
AB - We discuss the influence of the transformation {X(t)} → {f(t) X(τ(t))} on the Karhunen-Loève expansion of {X(t)}. Our main result is that, in general, the Karhunen-Loève expansion of {X(t)} with respect to Lebesgue's measure is transformed in the Karhunen-Loève expansion of {f(t) X(τ(t))} with respect to the measure f-2(t)dτ(t). Applications of this result are given in the case of Wiener process, Brownian bridge, and Ornstein-Uhlenbeck process.
LA - eng
KW - Desarrollo en serie de funciones; Aplicaciones; Procesos de Wiener; Movimiento browniano; Gaussian process; Karhunen-Loève expansion; Wiener process; Brownian bridge; Ornstein-Uhlenbeck process
UR - http://eudml.org/doc/40503
ER -
## Citations in EuDML Documents
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1. [Mátyás Barczy, Endre Iglói, Karhunen-Loève expansions of α-Wiener bridges](https://eudml.org/doc/%0A%0A%0A%0A%0A%0A%0A%0A%0A%0A%0A%0A/doc/269585)
## Notes[Embed](https://eudml.org/doc/40503) [?](https://eudml.org/doc/40503)
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### Article Keywords
Desarrollo en serie de funciones, Aplicaciones, Procesos de Wiener, Movimiento browniano, Gaussian process, Karhunen-Loève expansion, Wiener process, Brownian bridge, Ornstein-Uhlenbeck process
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#### Stochastic processes
60G12
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### From the Journal
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| Readable Markdown | [Ramón Gutiérrez Jáimez](https://eudml.org/search/page?q=sc.general*op.AND*l_0*c_0author_0eq%253A1.Ram%25C3%25B3n+Guti%25C3%25A9rrez+J%25C3%25A1imez&qt=SEARCH); [Mariano J. Valderrama Bonnet](https://eudml.org/search/page?q=sc.general*op.AND*l_0*c_0author_0eq%253A1.Mariano+J.+Valderrama+Bonnet&qt=SEARCH)
[Trabajos de Estadística](https://eudml.org/journal/10033) (1987)
- Volume: 2, Issue: 2, page 81-90
- ISSN: 0213-8190
## Access Full Article
[top](https://eudml.org/doc/40503 "top")
 [Access to full text](http://dmle.icmat.es/revistas/detalle.php?numero=3116)
## Abstract
[top](https://eudml.org/doc/40503 "top")
We discuss the influence of the transformation {X(t)} → {f(t) X(τ(t))} on the Karhunen-Loève expansion of {X(t)}. Our main result is that, in general, the Karhunen-Loève expansion of {X(t)} with respect to Lebesgue's measure is transformed in the Karhunen-Loève expansion of {f(t) X(τ(t))} with respect to the measure f-2(t)dτ(t). Applications of this result are given in the case of Wiener process, Brownian bridge, and Ornstein-Uhlenbeck process.
## How to cite
[top](https://eudml.org/doc/40503 "top")
Gutiérrez Jáimez, Ramón, and Valderrama Bonnet, Mariano J.. "On the Karhunen-Loeve expansion for transformed processes.." Trabajos de Estadística 2.2 (1987): 81-90. \<http://eudml.org/doc/40503\>.
@article{GutiérrezJáimez1987,
abstract = {We discuss the influence of the transformation \\{X(t)\\} → \\{f(t) X(τ(t))\\} on the Karhunen-Loève expansion of \\{X(t)\\}. Our main result is that, in general, the Karhunen-Loève expansion of \\{X(t)\\} with respect to Lebesgue's measure is transformed in the Karhunen-Loève expansion of \\{f(t) X(τ(t))\\} with respect to the measure f-2(t)dτ(t). Applications of this result are given in the case of Wiener process, Brownian bridge, and Ornstein-Uhlenbeck process.},
author = {Gutiérrez Jáimez, Ramón, Valderrama Bonnet, Mariano J.},
journal = {Trabajos de Estadística},
keywords = {Desarrollo en serie de funciones; Aplicaciones; Procesos de Wiener; Movimiento browniano; Gaussian process; Karhunen-Loève expansion; Wiener process; Brownian bridge; Ornstein-Uhlenbeck process},
language = {eng},
number = {2},
pages = {81-90},
title = {On the Karhunen-Loeve expansion for transformed processes.},
url = {http://eudml.org/doc/40503},
volume = {2},
year = {1987},
}
TY - JOUR
AU - Gutiérrez Jáimez, Ramón
AU - Valderrama Bonnet, Mariano J.
TI - On the Karhunen-Loeve expansion for transformed processes.
JO - Trabajos de Estadística
PY - 1987
VL - 2
IS - 2
SP - 81
EP - 90
AB - We discuss the influence of the transformation {X(t)} → {f(t) X(τ(t))} on the Karhunen-Loève expansion of {X(t)}. Our main result is that, in general, the Karhunen-Loève expansion of {X(t)} with respect to Lebesgue's measure is transformed in the Karhunen-Loève expansion of {f(t) X(τ(t))} with respect to the measure f-2(t)dτ(t). Applications of this result are given in the case of Wiener process, Brownian bridge, and Ornstein-Uhlenbeck process.
LA - eng
KW - Desarrollo en serie de funciones; Aplicaciones; Procesos de Wiener; Movimiento browniano; Gaussian process; Karhunen-Loève expansion; Wiener process; Brownian bridge; Ornstein-Uhlenbeck process
UR - http://eudml.org/doc/40503
ER -
## Citations in EuDML Documents
[top](https://eudml.org/doc/40503 "top")
1. [Mátyás Barczy, Endre Iglói, Karhunen-Loève expansions of α-Wiener bridges](https://eudml.org/doc/269585)
## Notes[Embed](https://eudml.org/doc/40503) [?](https://eudml.org/doc/40503)
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| Unparsed URL | org,eudml!/doc/40503 s443 |