Karhunen–Loève procedure for gappy data
Richard Everson, L. Sirovich · Journal of the Optical Society of America A · 1995
The problem of using the Karhunen–Loève transform with partial data is addressed. Given a set of empirical eigenfunctions, we show how to recover the modal coefficients for each gappy snapshot by a least-squares procedure. This method gives an unbiased estimate of the data that lie in the gaps and permits gaps to be filled in a reasonable manner. In addition, a scheme is advanced for finding empirical eigenfunctions from gappy data. It is shown numerically that this procedure obtains spectra and eigenfunctions that are close to those obtained from unmarred data.