Article ID Journal Published Year Pages File Type
1151534 Statistics & Probability Letters 2016 5 Pages PDF
Abstract

In this paper we obtain the Karhunen–Loève expansion and distribution identity for the demeaned stationary Ornstein–Uhlenbeck process. Some applications are given to small deviation asymptotic behavior for the L2L2 norm and Laplace transform for the process.

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Physical Sciences and Engineering Mathematics Statistics and Probability
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A note on Karhunen–Loève expansions for the demeaned stationary Ornstein–Uhlenbeck process
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