A novel method to derive explicit KLT kernel for AR(1) process

The derivation of explicit Karhunen-Loève transform (KLT) kernel for an auto-regressive order one, AR(1), process has been of a major implementation concern. The main reason is due to difficulties in finding the roots of a transcendental tangent equation as required in the derivation. We propose a novel method to derive explicit KLT kernel for discrete AR(1) process. The merit of the proposed technique is highlighted. The proposed method has a good potential to make real-time KLT applications more feasible in the coming years.