Series expansion of wide-sense stationary random processes
E. Masry, Bede Liu, Ken Steiglitz · IEEE Transactions on Information Theory · 1968
This paper presents a general approach to the derivation of series expansions of second-order wide-sense stationary mean-square continuous random process valid over an infinite-time interval. The coefficients of the expansion are orthogonal and convergence is in the mean-square sense. The method of derivation is based on the integral representation of such processes. It covers both the periodic and the aperiodic cases. A constructive procedure is presented to obtain an explicit expansion for a given spectral distribution.