NDLI: A Unified Formulation of Gaussian Versus Sparse Stochastic Processes

Content Provider	IEEE Xplore Digital Library
Author	Unser, M. Tafti, P.D. Amini, A. Kirshner, H.
Copyright Year	1963
Abstract	This paper is devoted to the characterization of an extended family of continuous-time autoregressive moving average (CARMA) processes that are solutions of stochastic differential equations driven by white Lévy innovations. These are completely specified by: 1) a set of poles and zeros that fixes their correlation structure and 2) a canonical infinitely divisible probability distribution that controls their degree of sparsity (with the Gaussian model corresponding to the least sparse scenario). The generalized CARMA processes are either stationary or nonstationary, depending on the location of the poles in the complex plane. The most basic nonstationary representatives (with a single pole at the origin) are the Lévy processes, which are the non-Gaussian counterparts of Brownian motion. We focus on the general analog-to-discrete conversion problem and introduce a novel spline-based formalism that greatly simplifies the derivation of the correlation properties and joint probability distributions of the discrete versions of these processes. We also rely on the concept of generalized increment process, which suppresses all long range dependencies, to specify an equivalent discrete-domain innovation model. A crucial ingredient is the existence of a minimally supported function associated with the whitening operator L; this B-spline, which is fundamental to our formulation, appears in most of our formulas, both at the level of the correlation and the characteristic function. We make use of these discrete-domain results to numerically generate illustrative examples of sparse signals that are consistent with the continuous-domain model.
Sponsorship	IEEE Information Theory Society
Starting Page	3036
Ending Page	3051
Page Count	16
File Size	2846127
File Format	PDF
ISSN	00189448
Volume Number	60
Issue Number	5
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2014-01-01
Publisher Place	U.S.A.
Access Restriction	One Nation One Subscription (ONOS)
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Technological innovation Stochastic processes Splines (mathematics) Mathematical model White noise Polynomials infinite divisibility Sparsity non-Gaussian stochastic processes innovation modeling continuous-time signals stochastic differential equations sampling exponential B-splines Lévy process CARMA processes
Content Type	Text
Resource Type	Article
Subject	Library and Information Sciences Information Systems Computer Science Applications

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