Hi, All:
I'm looking for reference about Karhunen theorem in time series. If the
covariance function R(t,s) can be written as:
R(t,s)=\int_0^1 f(t,u)\bar{f(s,u)}dF(u)
Then the time series has the following representation:
X_t = \int_0^1 f(t,u)dZ(u)
where Z(u) is an orthogonal increment process.
Any help are appreciate.
Ming
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