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

DOI10.1016/j.jfa.2008.07.021zbMath1155.60015OpenAlexW1974492389MaRDI QIDQ999848

Guennadi V. Martynov, Paul Deheuvels

Publication date: 10 February 2009

Published in: Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jfa.2008.07.021

zbMATH Keywords

reliabilityFredholm integral equationsorthogonal polynomialsextreme valuesGaussian processesempirical processesJacobi polynomialsnonparametric testsweak lawslifetime analysisKarhunen-Loève expansionstests of independenceCramér-von Mises-type tests

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Gaussian processes (60G15) Statistics of extreme values; tail inference (62G32)

Related Items (10)

A greedy non-intrusive reduced order model for shallow water equations ⋮ A note on Karhunen-Loève expansions for the demeaned stationary Ornstein-Uhlenbeck process ⋮ On the eigenproblem for Gaussian bridges ⋮ Extreme-strike asymptotics for general Gaussian stochastic volatility models ⋮ Partial functional quantization and generalized bridges ⋮ The Shifted Proper Orthogonal Decomposition: A Mode Decomposition for Multiple Transport Phenomena ⋮ MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS ⋮ On three families of Karhunen-Loève expansions associated with classical orthogonal polynomials ⋮ Small-time asymptotics for Gaussian self-similar stochastic volatility models ⋮ Convergence types and rates in generic Karhunen-Loève expansions with applications to sample path properties

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