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

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 $ L _{ p } $ 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.

Published in:
Ieee Transactions On Information Theory, 60, 3, 1945-1962
Piscataway, Ieee-Inst Electrical Electronics Engineers Inc

 Record created 2014-04-02, last modified 2019-02-13

External links:
Download fulltextURL
Download fulltextURL
Download fulltextURL
Rate this document:

Rate this document:
(Not yet reviewed)