SIMULATION OF RANDOM PROCESSES WITH KNOWN CORRELATION FUNCTION WITH THE HELP OF KARHUNEN-LOEVE DECOMPOSITION

OLEKSANDR MOKLYACHUK


Theory of Stochastic Processes Vol.13 (29), no.4, 2007, pp.163–169

A theorem is proved that allows to use approximations for construction of the Karhunen-Loeve model of stochastic process with known correlation function.


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