Fourier Expansions with Polynomial Terms for Random Processes

Abstract EN

Based on calculus of random processes, we present a kind of Fourier expansions with simple polynomial terms via our decomposition method of random processes.

Using our method, the expectations and variances of the corresponding coefficients decay fast and partial sum approximations attain the best approximation order.

Moreover, since we remove boundary effect in our decomposition of random process, these coefficients can discover the instinct frequency information of this random process.

Therefore, our method has an obvious advantage over traditional Fourier expansion.

These results are also new for deterministic functions.