Karhunen-Loeve expansion with reference to singular-value decomposition and separation of variables
K.V. Fernando, Helen J. Nicholson · IEE Proceedings D Control Theory and Applications · 1980
The Karhunen-Loève expansion for random processes, the method of principal component analysis, the singular-value decomposition of rectangular matrices and the method of separation of variables used in mathematical physics and functional analysis are shown to possess the same basic structure based on orthonormal basis functions or vectors and associated eigenproblems.