Generating Sparse Stochastic Processes Using Matched Splines

We provide an algorithm to generate trajectories of sparse stochastic processes that are solutions of linear ordinary differential equations driven by Levy white noises. A recent paper showed that these processes are limits in law of generalized compound-Poisson processes. Based on this result, we derive an off-the-grid algorithm that generates arbitrarily close approximations of the target process. Our method relies on a B-spline representation of generalized compound-Poisson processes. We illustrate numerically the validity of our approach.


Published in:
Ieee Transactions On Signal Processing, 68, 4397-4406
Year:
Jan 01 2020
Publisher:
Piscataway, IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
ISSN:
1053-587X
1941-0476
Keywords:
Laboratories:




 Record created 2020-09-09, last modified 2020-09-24


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