A Fast Karhunen-Loeve Transform for a Class of Random Processes
Anil Kumar Jain · IRE Transactions on Communications Systems · 1976
The Karhunen-Loeve transform for a class of signals is proven to be a set of periodic sine functions and this Karhunen-Loeve series expansion can be obtained via an FFT algorithm. This fast algorithm obtained could be useful in data compression and other mean-square signal processing applications.