Orthogonal decomposition of the instaneous transformation of the Gaussian process


Zoran A. Ivković




Let $\{\xi(t),0\leq t\leq1\}$ be the mean square continuous Gaussian process. Consider the second order process $\{X(t),0\leq t\leq1\}$ defined by $X(t)=f(\xi(t),t)$ where $f$ is a given non-random function. In the paper the orthogonal decomposition of $\{X(t)\}$ in terms of the orthogonal decomposition of $\{\xi(t)\}$ is determined. The case of Loeve-Karhunen decomposition is also considered.