Abstract :
In this paper it is shown that, in general, second-order probability distributions may be expanded in a certain double series involving orthogonal polynomials associated with the corresponding first-order probability distributions. Attention is restricted to those second-order probability distributions which lead to a "diagonal" form for this expansion. When such distributions are joint probability distributions for samples taken from a pair of time series, some interesting results can be demonstrated. For example, it is shown that if one of the time series undergoes an amplitude distortion in a time-varying "instantaneous" nonlinear device, the covariance function after distortion is simply proportional to that before distortion. Some simple results concerning conditional expectations are given and an extension of a theorem, due to Doob, on stationary Markov processes is presented. The relation between the "diagonal" expansion used in this paper and the Mercer expansion of the kernel of a certain linear homogeneous integral equation, is pointed out and in conclusion explicit expansions are given for three specific examples.
