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November 1, 1998SIAM Journal on Control and Optimization

On the Optimality of the Discrete Karhunen--Loève Expansion

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Abstract

A short proof of the optimality of the discrete Karhunen--Loève expansion as the best linear approximation in the quadratic mean is presented.MSC codes93E2494A12

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Cite This Study

Arne Dür (1998) studied this question.

synapsesocial.com/papers/6a20a3b0013bbc8a0fcd28d3 https://doi.org/10.1137/s0363012997315750

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