Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1151534 | Statistics & Probability Letters | 2016 | 5 Pages |
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Xiaohui Ai,