I ran across a reference to a Karhunen-Loeve transform in a paper I
was reading and from the brief mention it seems that it is relevant to
my research. However, there is no pointer to where I could find more
information.
Could someone let me know what a good reference for the Karhunen-Loeve
transform would be?
thanx
--sergey
: Could someone let me know what a good reference for the Karhunen-Loeve
: transform would be?
The paper you want is probably
Karhunen, Juha
New Methods for Stochastic Approximation of Truncated Karhunen-Loeve
Expansions (Helsinki University of Technology, 1981).
Don't ask me any questions about the subject, you'll just get a blank
look :-). I got the reference out of _Fennica_.
Karhunen may read this group, so you may already have the info. If
not, and if you can't get the reference locally, send me email and
I'll try to get his email address for you. It's always nice to have
an excuse for visiting HTK's library in Otaniemi.