Karhunen – Loève procedure for gappy data

@inproceedings{Everson1995KarhunenL,
  title={Karhunen – Lo{\`e}ve procedure for gappy data},
  author={Richard Everson and Lawrence Sirovich},
  year={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… CONTINUE READING
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