Application of hierarchical matrices for computing the Karhunen-Loève expansion. Khoromskij, B., Litvinenko, A., & Matthies, H. Computing, 84(1-2):49–67, 2009.
doi  bibtex   
@Article{         Khoromskij_2009aa,
  author        = {Khoromskij, B.~N. and Litvinenko, A. and Matthies, H.~G.},
  doi           = {10.1007/s00607-008-0018-3},
  group         = {wolf},
  issn          = {0010-485X},
  journal       = {Computing},
  keywords      = {60H35 (60G60 60H15 65C30 65N25)},
  langid        = {english},
  number        = {1-2},
  pages         = {49--67},
  title         = {Application of hierarchical matrices for computing the Karhunen-Loève expansion},
  volume        = {84},
  year          = {2009},
  shortjournal  = {Computing}
}

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