Is there a Karhunen-Loeve theorem for discrete-time process?
For example, let $\left\{X_i\right\}$ be a sequence of independent random variable which are uniformly distributed on the set $\{-1,1\}$. Define
$$
S_t = \sum_{i=1}^t X_i,
$$
with $t$ an integer between 1 and $n$.
I would like to write $S$ as
$$
S_t = \sum_{j=1}^t \xi_j e_j \tag{1}
$$
where the coefficient $\xi_j$ are random and pairwise independent.
The vectors $\left\{e_j\right\}_{j=1}^n$ form an orthonormal basis of $\mathbb R^n$.
The representation (1) should minimzed the total square error.
I tried to adapt the proof of the Karhunen-Loeve and Mercer theorem.
My guess is that the Mercer kernel, or covariance function, should now be
$$
K(s, t) = E\left(X_s X_t \right).
$$
I'm wondering if this kind of result is either:
- already available from the standard theory? if so, how?
(by appropriately defining the space maybe) - already treated somewhere? if so where?
(reproducing kernel Hilbert space theory, or a generalization of the Karhunen-Loeve expansion)
I seek the representation (1) because I want to discretize, or quantize, the process $S$.