Title

A Unified Formulation Of Gaussian Versus Sparse Stochastic Processes - Part I: Continuous-Domain Theory

Keywords

continuous-time signals; infinite divisibility; innovation modeling; Lévy process; non-Gaussian stochastic processes; Sparsity; stochastic differential equations; wavelet expansion

Abstract

We introduce a general distributional framework that results in a unifying description and characterization of a rich variety of continuous-time stochastic processes. The cornerstone of our approach is an innovation model that is driven by some generalized white noise process, which may be Gaussian or not (e.g., Laplace, impulsive Poisson, or alpha stable). This allows for a conceptual decoupling between the correlation properties of the process, which are imposed by the whitening operator L, and its sparsity pattern, which is determined by the type of noise excitation. The latter is fully specified by a Lévy measure. We show that the range of admissible innovation behavior varies between the purely Gaussian and super-sparse extremes. We prove that the corresponding generalized stochastic processes are well-defined mathematically provided that the (adjoint) inverse of the whitening operator satisfies some Lp bound for p ≥ 1. We present a novel operator-based method that yields an explicit characterization of all Lévy-driven processes that are solutions of constant-coefficient stochastic differential equations. When the underlying system is stable, we recover the family of stationary continuous-time autoregressive moving average processes (CARMA), including the Gaussian ones. The approach remains valid when the system is unstable and leads to the identification of potentially useful generalizations of the Lévy processes, which are sparse and non-stationary. Finally, we show that these processes admit a sparse representation in some matched wavelet domain and provide a full characterization of their transform-domain statistics. © 2014 IEEE.

Publication Date

1-1-2014

Publication Title

IEEE Transactions on Information Theory

Volume

60

Issue

3

Number of Pages

1945-1962

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.1109/TIT.2014.2298453

Socpus ID

84896890088 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/84896890088

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