karhunen-love theorem

In the theory of stochastic processes, the Karhunen-Love theorem (named after Kari Karhunen and Michel Love) states that a centered stochastic process {X_t}_t (where centered means that the expectations E(X_t) are defined and equal to 0 for all t) satisfying a technical continuity condition, admits a decomposition

\mathbf{X}_t = \sum_{k=1}^\infty \mathbf{Z}_k e_k(t).

where Z_{k are pairwise uncorrelated random variables. Moreover, if the process is Gaussian, then the random variables Z_k are Gaussian and stochastically independent. This result generalizes the Karhunen-Love transform. An important example of a centered real stochastic process on 0,1 is Brownian motion and the Karhunen-Love theorem can be used to provide a canonical orthogonal representation for it. The above expansion into uncorrelated random variables is also known as the Karhunen-Love expansion. Detailed formulation
We will formulate the result in terms of real random variables, although it is applicable without change to vector-valued random variables. If X and Y are random variables, the inner product is defined by $\langle \mathbf{X}|\mathbf{Y} \rangle = \operatorname{E}(\mathbf{X}\mathbf{Y})$

This is defined if both X and Y have finite second moments e.g., are square integrable. Note that the inner product is related to covariance and correlation. In particular, for random variables of mean zero, covariance and inner product coincide. If {X_t}_t is a centered process, the covariance function of {X_t}_t is $\operatorname{Cov}_{\mathbf{X}}(t,s) = \langle \mathbf{X}_t | \mathbf{X}_s \rangle = \operatorname{Cov}( \mathbf{X}_t,\mathbf{X}_s).$

Note that if {X_t}_t is centered and t₁, ≤ t₂, ..., ≤ t_N are points in b, then $\sum_{k,\ell} \operatorname{Cov}_{\mathbf{X}}(t_k,t_\ell) = \operatorname{Var}\left(\sum_{k=1}^N \mathbf{X}_k\right) \geq 0.$

Theorem. Consider a centered stochastic process {X_t}_t indexed by t in the interval b with covariance function Cov_X. Suppose the covariance function Cov_X(t,s) is jointly continuous in t, s. Then Cov_X can be regarded as a positive definite kernel and so by Mercer's theorem, the corresponding integral operator T on L²a,b (relative to Lebesgue measure on a,b) has an orthonormal basis of eigenvectors. Let {e_i}_i be the eigenvectors of T corresponding to non-zero eigenvalues and $\mathbf{Z}_i = \int_a^b \mathbf{X}_t e_i(t) dt.$

Then Z_i are centered orthogonal random variables and $\mathbf{X}_t = \sum_{i=1}^\infty e_i(t) \mathbf{Z}_i$

where the convergence is in the mean and is uniform in t. Moreover $\operatorname{Var}(\mathbf{Z}_i) = \operatorname{E}(\mathbf{Z}_i^2) = \lambda_i.$

where λ_i is the eigenvalue corresponding to the eigenvector e_i. In the statement of the theorem, the integral defining Z_i, can be defined as the limit in the mean of Cauchy sums of random variables: $\sum_{k=0}^{\ell-1} \mathbf{X}_{\xi_k} e_i(\xi_k) (t_{k+1} - t_k),$

where $a = t_0 \leq \xi_0 \leq t_1 \leq \cdots \leq \xi_{\ell-1} \leq t_n = b$

Since the limit in the mean of jointly Gaussian random variables is jointly Gaussian, and jointly Gaussian random (centered) variables are independent iff they are orthogonal, we can also conclude: Theorem. The variables Z_i have a joint Gaussian distribution and are stochastically independent if the original process {X_t}_t is Gaussian. In the gaussian case, since the variables Z_i are independent, we can say more: $\lim_{N \rightarrow \infty} \sum_{i=1}^N e_i(t) \mathbf{Z}_i(\omega) = \mathbf{X}_t(\omega)$

almost surely. Note that by generalizations of Mercer's theorem we can replace the interval b with other compact spaces C and Lebesgue measure on b with a Borel measure whose support is C. Brownian motion
There are numerous equivalent characterizations of Brownian motion. Here we regard it as the centered Gaussian process {B_t} with covariance function $\operatorname{Cov}_{\mathbf{B}}(t,s) =\min (s,t).$

The eigenvectors of the covariance kernel are easily determined. These are $e_k(t) = \sqrt{2} \sin \left(k - \frac{1}{2}\right) \pi t$

and the corresponding eigenvalues are $\lambda_k = \frac{4}{(2 k -1)^2 \pi^2}.$

This gives the following representation of Brownian motion: Theorem. There is a sequence {W_i}_i of independent Gaussian random with mean zero and variance 1 such that $\mathbf{B}_t = \sqrt{2} \sum_{k=1}^\infty \mathbf{W}_k \frac{\sin \left(k - \frac{1}{2}\right) \pi t}{ \left(k - \frac{1}{2}\right) \pi}.$

Convergence is uniform in t and in the L² norm, that is $\operatorname{E}\left(\mathbf{B}_t - \sqrt{2} \sum_{k=1}^n \mathbf{W}_k \frac{\sin \left(k - \frac{1}{2}\right) \pi t}{ \left(k - \frac{1}{2}\right) \pi} \right)^2 \rightarrow 0$

uniformly in t. References
I. Guikhman, A. Skorokhod, 'Introduction a la Thorie des Processus Alatoires' ditions MIR, 1977
B. Simon, Functional Integration and Quantum Physics, Academic Press, 1979

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