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